QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
lookbackoption.hpp File Reference

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
 

Detailed Description

Lookback option on a single asset.

Definition in file lookbackoption.hpp.