ContinuousFixedLookbackOption Class Reference

Continuous-fixed lookback option. More...

#include <ql/instruments/lookbackoption.hpp>

Inheritance diagram for ContinuousFixedLookbackOption:

List of all members.

Classes

class  arguments
 Arguments for continuous fixed lookback option calculation More...
class  engine
 Continuous fixed lookback engine base class More...

Public Member Functions

 ContinuousFixedLookbackOption (Real currentMinmax, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise)
void setupArguments (PricingEngine::arguments *) const

Protected Attributes

Real minmax_

Detailed Description

Continuous-fixed lookback option.


Member Function Documentation

void setupArguments ( PricingEngine::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 Option.