- QuantLib
- DiscreteAveragingAsianOption
Discrete-averaging Asian option. More...
#include <ql/instruments/asianoption.hpp>

Classes | |
| class | arguments |
| Extra arguments for single-asset discrete-average Asian option. More... | |
| class | engine |
| Discrete-averaging Asian engine base class. More... | |
Public Member Functions | |
| DiscreteAveragingAsianOption (Average::Type averageType, Real runningAccumulator, Size pastFixings, const std::vector< Date > &fixingDates, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) | |
| void | setupArguments (PricingEngine::arguments *) const |
Protected Attributes | |
| Average::Type | averageType_ |
| Real | runningAccumulator_ |
| Size | pastFixings_ |
| std::vector< Date > | fixingDates_ |
Discrete-averaging Asian option.
| 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.