analyticcontinuouspartialfloatinglookback.hpp File Reference

Analytic engine for continuous floating-strike lookback. More...

#include <ql/instruments/lookbackoption.hpp>
#include <ql/pricingengines/lookback/analyticcontinuousfloatinglookback.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/math/distributions/bivariatenormaldistribution.hpp>

Go to the source code of this file.

Classes
class	AnalyticContinuousPartialFloatingLookbackEngine
	Pricing engine for European continuous partial-time floating-strike lookback option. More...

Namespaces
namespace	QuantLib

Detailed Description

Analytic engine for continuous floating-strike lookback.

Definition in file analyticcontinuouspartialfloatinglookback.hpp.