analyticcontinuouspartialfixedlookback.hpp File Reference

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

#include <ql/instruments/lookbackoption.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	AnalyticContinuousPartialFixedLookbackEngine
	Pricing engine for European continuous partial-time fixed-strike lookback options. More...

Namespaces
namespace	QuantLib

Detailed Description

Analytic engine for continuous fixed-strike lookback.

Definition in file analyticcontinuouspartialfixedlookback.hpp.