QuantLib: AnalyticContinuousPartialFixedLookbackEngine Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.6

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AnalyticContinuousPartialFixedLookbackEngine Class Reference

Pricing engine for European continuous partial-time fixed-strike lookback options. More...

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

Inheritance diagram for AnalyticContinuousPartialFixedLookbackEngine:
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## Public Member Functions
| AnalyticContinuousPartialFixedLookbackEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)
void | calculate () const
Public Member Functions inherited from GenericEngine< ContinuousPartialFixedLookbackOption::arguments, ContinuousPartialFixedLookbackOption::results >
PricingEngine::arguments * | getArguments () const
const PricingEngine::results * | getResults () const
void | reset ()
void | update ()
Public Member Functions inherited from Observable
| Observable (const Observable &)
Observable & | operator= (const Observable &)
void | notifyObservers ()
Public Member Functions inherited from Observer
| Observer (const Observer &)
Observer & | operator= (const Observer &)
std::pair< std::set< boost::shared_ptr< Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &)
void | registerWithObservables (const boost::shared_ptr< Observer > &)
Size | unregisterWith (const boost::shared_ptr< Observable > &)
void | unregisterWithAll ()

## Additional Inherited Members
Protected Attributes inherited from GenericEngine< ContinuousPartialFixedLookbackOption::arguments, ContinuousPartialFixedLookbackOption::results >
ContinuousPartialFixedLookbackOption::arguments | arguments_
ContinuousPartialFixedLookbackOption::results | results_

## Detailed Description

Pricing engine for European continuous partial-time fixed-strike lookback options.

Formula from "Option Pricing Formulas, Second Edition", E.G. Haug, 2006, p.148

Tests:
  returned values are verified against results from literature