ContinuousAveragingAsianOption Class Reference
[Financial instruments]

Continuous-averaging Asian option. More...

#include <ql/instruments/asianoption.hpp>

Inheritance diagram for ContinuousAveragingAsianOption:

List of all members.

Classes

class  arguments
 Extra arguments for single-asset continuous-average Asian option. More...
class  engine
 Continuous-averaging Asian engine base class. More...

Public Member Functions

 ContinuousAveragingAsianOption (Average::Type averageType, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise)
void setupArguments (PricingEngine::arguments *) const

Protected Attributes

Average::Type averageType_


Detailed Description

Continuous-averaging Asian option.

Possible enhancements:
add running average

Member Function Documentation

void setupArguments ( PricingEngine::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 Option.