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

Detailed Description
Continuous-floating lookback option.
Public Member Functions | |
| ContinuousFloatingLookbackOption (const Real currentMinmax, const boost::shared_ptr< StochasticProcess > &process, const boost::shared_ptr< TypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise, const boost::shared_ptr< PricingEngine > &engine=boost::shared_ptr< PricingEngine >()) | |
| void | setupArguments (Arguments *) const |
Protected Attributes | |
| Real | minmax_ |
Classes | |
| class | arguments |
| Arguments for continuous floating lookback option calculation More... | |
| class | engine |
| Continuous floating lookback engine base class More... | |
Member Function Documentation
| void setupArguments | ( | Arguments * | ) | const [virtual] |
When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from OneAssetOption.