asianoption.hpp

Langue: en

Autres versions - même langue

Version: 378836 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/instruments/asianoption.hpp -

Asian option on a single asset.

SYNOPSIS


#include <ql/instruments/oneassetoption.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/instruments/averagetype.hpp>
#include <ql/time/date.hpp>
#include <vector>

Classes


class ContinuousAveragingAsianOption
Continuous-averaging Asian option.
class DiscreteAveragingAsianOption
Discrete-averaging Asian option.
class DiscreteAveragingAsianOption::arguments
Extra arguments for single-asset discrete-average Asian option.
class ContinuousAveragingAsianOption::arguments
Extra arguments for single-asset continuous-average Asian option.
class DiscreteAveragingAsianOption::engine
Discrete-averaging Asian engine base class.
class ContinuousAveragingAsianOption::engine
Continuous-averaging Asian engine base class.

Detailed Description

Asian option on a single asset.

Author

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