DiscreteAveragingAsianOption Class Reference
[Financial instruments]
#include <ql/Instruments/asianoption.hpp>
Inheritance diagram for DiscreteAveragingAsianOption:

Detailed Description
Discrete-averaging Asian option.
Public Member Functions | |
DiscreteAveragingAsianOption (Average::Type averageType, Real runningAccumulator, Size pastFixings, std::vector< Date > fixingDates, const boost::shared_ptr< StochasticProcess > &, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise, const boost::shared_ptr< PricingEngine > &engine=boost::shared_ptr< PricingEngine >()) | |
void | setupArguments (Arguments *) const |
Protected Attributes | |
Average::Type | averageType_ |
Real | runningAccumulator_ |
Size | pastFixings_ |
std::vector< Date > | fixingDates_ |
Classes | |
class | arguments |
Extra arguments for single-asset discrete-average Asian option. More... | |
class | engine |
Discrete-averaging Asian engine base class. More... |
Member Function Documentation
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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 OneAssetStrikedOption. |