ContinuousAveragingAsianOption (3) - Linux Manuals

ContinuousAveragingAsianOption: Continuous-averaging Asian option.

NAME

QuantLib::ContinuousAveragingAsianOption - Continuous-averaging Asian option.

SYNOPSIS

#include <ql/instruments/asianoption.hpp>

Inherits QuantLib::OneAssetOption.

Classes

class arguments
Extra arguments for single-asset continuous-average Asian option.
class engine
Continuous-averaging Asian engine base class.

Public Member Functions

ContinuousAveragingAsianOption (Average::Type averageType, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise)

void setupArguments (PricingEngine::arguments *) const

Protected Attributes

Average::Type averageType_

Detailed Description

Continuous-averaging Asian option.

Possible enhancements

add running average

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.

Author

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