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QuantLib_DiscreteAveragingAsianOption

NAME

QuantLib::DiscreteAveragingAsianOption -

Discrete-averaging Asian option.

SYNOPSIS

#include <ql/instruments/asianoption.hpp>

Inherits QuantLib::OneAssetOption.

Classes

class arguments
Extra arguments for single-asset discrete-average Asian option.
class engine
Discrete-averaging Asian engine base class.

Public Member Functions

DiscreteAveragingAsianOption (Average::Type averageType, Real runningAccumulator, Size pastFixings, const std::vector< Date > &fixingDates, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise)

void setupArguments (PricingEngine::arguments *) const

Protected Attributes

Average::Type averageType_

Real runningAccumulator_

Size pastFixings_

std::vector< Date > fixingDates_

Detailed Description

Discrete-averaging Asian 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.

Author

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