Model[Lookback Option]


"Model[Lookback Option]" is a special type of Model
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with functions Model[Lookback Option] Functions and example object LkbackOptMdl

TYPE INCLUSION RELATIONSHIPS

Model Exotic Option

Model Lookback Option

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AVAILABLE FUNCTIONS

Create

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TYPICAL OBJECTS OF TYPE Model[Lookback Option]

LkbackOptMdl

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This type represents modelling assumptions relating to the type Lookback Option that may be needed during some valuation algorithm.

The following labels may be assigned to the key Output of the Price function in order for the latter to return the respective quantities.
List of valid values:
Price

The output is a number that represents the price - also known as NPV (Net Present Value) - of the referenced tradable as of the trade date
Note the applicable trade date equals the global trade date, except if overridden by the optional entry As Of
The cash flows occurring on the trade date are included only if Trade Date CFs is set to TRUE