AnalyticDiscreteGeometricAveragePriceAsianEngine Class Reference

Pricing engine for European discrete geometric average price Asian. More...

#include <ql/pricingengines/asian/analytic_discr_geom_av_price.hpp>

Inheritance diagram for AnalyticDiscreteGeometricAveragePriceAsianEngine:

Public Member Functions

 AnalyticDiscreteGeometricAveragePriceAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)
 
void calculate () const
 
- Public Member Functions inherited from GenericEngine< DiscreteAveragingAsianOption::arguments, DiscreteAveragingAsianOption::results >
PricingEngine::arguments * getArguments () const
 
const PricingEngine::results * getResults () const
 
void reset ()
 
void update ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Additional Inherited Members

- Protected Attributes inherited from GenericEngine< DiscreteAveragingAsianOption::arguments, DiscreteAveragingAsianOption::results >
DiscreteAveragingAsianOption::arguments arguments_
 
DiscreteAveragingAsianOption::results results_
 

Detailed Description

Pricing engine for European discrete geometric average price Asian.

This class implements a discrete geometric average price 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

Possible enhancements:
implement correct theta, rho, and dividend-rho calculation
Tests:
  • the correctness of the returned value is tested by reproducing results available in literature.
  • the correctness of the available greeks is tested against numerical calculations.