ContinuousAveragingAsianOption Class Reference
[Financial instruments]

#include <ql/instruments/asianoption.hpp>

Inheritance diagram for ContinuousAveragingAsianOption:

Inheritance graph
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List of all members.

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...