25#ifndef quantlib_analytic_continuous_fixed_lookback_engine_hpp
26#define quantlib_analytic_continuous_fixed_lookback_engine_hpp
28#include <ql/instruments/lookbackoption.hpp>
29#include <ql/processes/blackscholesprocess.hpp>
30#include <ql/math/distributions/normaldistribution.hpp>
46 ext::shared_ptr<GeneralizedBlackScholesProcess> process);
50 ext::shared_ptr<GeneralizedBlackScholesProcess>
process_;
Pricing engine for European continuous fixed-strike lookback.
CumulativeNormalDistribution f_
Time residualTime() const
Volatility volatility() const
DiscountFactor dividendDiscount() const
void calculate() const override
Real stdDeviation() const
Rate riskFreeRate() const
ext::shared_ptr< GeneralizedBlackScholesProcess > process_
Rate dividendYield() const
DiscountFactor riskFreeDiscount() const
Continuous fixed lookback engine base class
Cumulative normal distribution function.
Real Time
continuous quantity with 1-year units
Real DiscountFactor
discount factor between dates
Real Volatility
volatility