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QuantLib_AnalyticDiscreteGeometricAverageStrikeAsianEngine
Langue: en
Version: 380671 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::AnalyticDiscreteGeometricAverageStrikeAsianEngine -Pricing engine for European discrete geometric average-strike Asian option.
SYNOPSIS
#include <ql/pricingengines/asian/analytic_discr_geom_av_strike.hpp>
Inherits QuantLib::DiscreteAveragingAsianOption::engine.
Public Member Functions
AnalyticDiscreteGeometricAverageStrikeAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)
void calculate () const
Detailed Description
Pricing engine for European discrete geometric average-strike Asian option.
This class implements a discrete geometric average-strike Asian option, with European exercise. The formula is from 'Asian
Option', E. Levy (1997) in 'Exotic Options: The State of the
Art', edited by L. Clewlow, C. Strickland, pag 65-97
Tests
-
- *
- the correctness of the returned value is tested by reproducing known good results.
Author
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