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

Detailed Description
Continuous-averaging Asian option.
- Todo:
- add running average
Public Member Functions | |
ContinuousAveragingAsianOption (Average::Type averageType, 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 (PricingEngine::arguments *) const |
Protected Attributes | |
Average::Type | averageType_ |
Classes | |
class | arguments |
Extra arguments for single-asset continuous-average Asian option. More... | |
class | engine |
Continuous-averaging Asian engine base class. More... |