AnalyticContinuousFloatingLookbackEngine Class Reference

### A free/open-source library for quantitative finance

Public Member Functions
AnalyticContinuousFloatingLookbackEngine Class Reference

Pricing engine for European continuous floating-strike lookback. More...

`#include <ql/pricingengines/lookback/analyticcontinuousfloatinglookback.hpp>`

Inheritance diagram for AnalyticContinuousFloatingLookbackEngine:
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List of all members.

## Public Member Functions
| AnalyticContinuousFloatingLookbackEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)
void | calculate () const

## Detailed Description

Pricing engine for European continuous floating-strike lookback.

Formula from "Option Pricing Formulas", E.G. Haug, McGraw-Hill, 1998, p.61-62

Tests:
  returned values verified against results from literature