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

Detailed Description
Continuous-fixed lookback option.
Public Member Functions | |
ContinuousFixedLookbackOption (const 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 (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... |
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 OneAssetStrikedOption.