QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
lookback Directory Reference

Files

file  analyticcontinuousfixedlookback.hpp
 Analytic engine for continuous fixed-strike lookback.
 
file  analyticcontinuousfloatinglookback.hpp
 Analytic engine for continuous floating-strike lookback.
 
file  mclookbackengine.hpp
 Monte Carlo lookback fixed engines.