Logo Search packages:      
Sourcecode: quantlib version File versions  Download package

analyticcontinuousfixedlookback.hpp File Reference

Detailed Description

Analytic engine for continuous fixed-strike lookback.

Definition in file analyticcontinuousfixedlookback.hpp.

#include <ql/Instruments/lookbackoption.hpp>
#include <ql/Math/normaldistribution.hpp>

Go to the source code of this file.


namespace  QuantLib


class  QuantLib::AnalyticContinuousFixedLookbackEngine
 Pricing engine for European continuous fixed-strike lookback. More...

Generated by  Doxygen 1.6.0   Back to index