QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes
Lookback option engines

Classes

class  AnalyticContinuousFixedLookbackEngine
 Pricing engine for European continuous fixed-strike lookback. More...
 
class  AnalyticContinuousFloatingLookbackEngine
 Pricing engine for European continuous floating-strike lookback. More...
 
class  AnalyticContinuousPartialFixedLookbackEngine
 Pricing engine for European continuous partial-time fixed-strike lookback options. More...
 
class  AnalyticContinuousPartialFloatingLookbackEngine
 Pricing engine for European continuous partial-time floating-strike lookback option. More...
 

Detailed Description