QuantLib_AnalyticDiscreteGeometricAverageStrikeAsianEngine

Langue: en

Version: 380671 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

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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