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analyticcontinuousfloatinglookback.hpp File Reference

Detailed Description

Analytic engine for continuous floating-strike lookback.

Definition in file analyticcontinuousfloatinglookback.hpp.

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

Go to the source code of this file.


namespace  QuantLib


class  QuantLib::AnalyticContinuousFloatingLookbackEngine
 Pricing engine for European continuous floating-strike lookback. More...

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