QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Lookback option on a single asset. More...
#include <ql/instruments/oneassetoption.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/exercise.hpp>
Go to the source code of this file.
Classes | |
class | ContinuousFloatingLookbackOption |
Continuous-floating lookback option. More... | |
class | ContinuousFixedLookbackOption |
Continuous-fixed lookback option. More... | |
class | ContinuousPartialFloatingLookbackOption |
Continuous-partial-floating lookback option. More... | |
class | ContinuousPartialFixedLookbackOption |
Continuous-partial-fixed lookback option. More... | |
class | ContinuousFloatingLookbackOption::arguments |
Arguments for continuous floating lookback option calculation More... | |
class | ContinuousFixedLookbackOption::arguments |
Arguments for continuous fixed lookback option calculation More... | |
class | ContinuousPartialFloatingLookbackOption::arguments |
Arguments for continuous partial floating lookback option calculation More... | |
class | ContinuousPartialFixedLookbackOption::arguments |
Arguments for continuous partial fixed lookback option calculation More... | |
class | ContinuousFloatingLookbackOption::engine |
Continuous floating lookback engine base class More... | |
class | ContinuousFixedLookbackOption::engine |
Continuous fixed lookback engine base class More... | |
class | ContinuousPartialFloatingLookbackOption::engine |
Continuous partial floating lookback engine base class More... | |
class | ContinuousPartialFixedLookbackOption::engine |
Continuous partial fixed lookback engine base class More... | |
Namespaces | |
namespace | QuantLib |
Lookback option on a single asset.
Definition in file lookbackoption.hpp.