ContinuousFixedLookbackOption Class Reference
[Financial instruments]
#include <ql/instruments/lookbackoption.hpp>
Inheritance diagram for ContinuousFixedLookbackOption:

Detailed Description
Continuous-fixed lookback option.
Public Member Functions | |
| ContinuousFixedLookbackOption (Real currentMinmax, const boost::shared_ptr< StochasticProcess > &process, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise, const boost::shared_ptr< PricingEngine > &engine=boost::shared_ptr< PricingEngine >()) | |
| void | setupArguments (PricingEngine::arguments *) const |
Protected Attributes | |
| Real | minmax_ |
Classes | |
| class | arguments |
| Arguments for continuous fixed lookback option calculation More... | |
| class | engine |
| Continuous fixed lookback engine base class More... | |