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QuantLib_ContinuousAveragingAsianOption
Langue: en
Version: 375640 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
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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