DiscreteAveragingAsianOption Class Reference

#include <ql/Instruments/asianoption.hpp>

Inheritance diagram for DiscreteAveragingAsianOption:

Inheritance graph
[legend]
List of all members.

Detailed Description

Asian option.


Public Member Functions

 DiscreteAveragingAsianOption (Average::Type averageType, double runningProduct, Size pastFixings, std::vector< Date > fixingDates, const Handle< BlackScholesStochasticProcess > &stochProc, const Handle< StrikedTypePayoff > &payoff, const Handle< Exercise > &exercise, const Handle< PricingEngine > &engine=Handle< PricingEngine >())
void setupArguments (Arguments *) const

Protected Member Functions

void performCalculations () const

Protected Attributes

Average::Type averageType_
double runningProduct_
Size pastFixings_
std::vector< DatefixingDates_


Member Function Documentation

void setupArguments 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 OneAssetStrikedOption.

void performCalculations  )  const [protected, virtual]
 

In case a pricing engine is not used, this method must be overridden to perform the actual calculations and set any needed results. In case a pricing engine is used, the default implementation can be used.

Reimplemented from OneAssetStrikedOption.


QuantLib.org
QuantLib
Hosted by
SourceForge.net Logo
Documentation generated by
doxygen