ContinuousAveragingAsianOption Class Reference
Continuous-averaging Asian option. More...
#include <ql/instruments/asianoption.hpp>
Inheritance diagram for ContinuousAveragingAsianOption:

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.