Pricing engine for European discrete geometric average-strike Asian option. More...
#include <ql/pricingengines/asian/analytic_discr_geom_av_strike.hpp>
Inheritance diagram for AnalyticDiscreteGeometricAverageStrikeAsianEngine:Public Member Functions | |
| AnalyticDiscreteGeometricAverageStrikeAsianEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &process) | |
| void | calculate () const |
Public Member Functions inherited from GenericEngine< DiscreteAveragingAsianOption::arguments, DiscreteAveragingAsianOption::results > | |
| PricingEngine::arguments * | getArguments () const |
| const PricingEngine::results * | getResults () const |
| void | reset () |
| void | update () |
Public Member Functions inherited from PricingEngine | |
| virtual arguments * | getArguments () const =0 |
| virtual const results * | getResults () const =0 |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Protected Attributes inherited from GenericEngine< DiscreteAveragingAsianOption::arguments, DiscreteAveragingAsianOption::results > | |
| DiscreteAveragingAsianOption::arguments | arguments_ |
| DiscreteAveragingAsianOption::results | results_ |
Pricing engine for European discrete geometric average-strike Asian option.
This class implements a discrete geometric average-strike Asian option, with European exercise. The formula is from "Asian Option", E. Levy (1997) in "Exotic Options: The State of the Art", edited by L. Clewlow, C. Strickland, pag 65-97