ContinuousArithmeticAsianVecerEngine — Vecer engine for continuous-avaeraging Asian options.  


#include <ql/experimental/exoticoptions/continuousarithmeticasianvecerengine.hpp>

Inherits ContinuousAveragingAsianOption::engine.

Public Member Functions

ContinuousArithmeticAsianVecerEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, const Handle< Quote > &currentAverage, Date startDate, Size timeSteps=100, Size assetSteps=100, Real z_min=-1.0, Real z_max=1.0)
void calculate () const

Protected Member Functions

Real cont_strategy (Time t, Time T1, Time T2, Real v, Real r) const

Additional Inherited Members

Detailed Description

Vecer engine for continuous-avaeraging Asian options.

See http://www.stat.columbia.edu/~vecer/asian-vecer.pdf


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Referenced By

The man pages ContinuousArithmeticAsianVecerEngine(3) and cont_strategy(3) are aliases of QuantLib_ContinuousArithmeticAsianVecerEngine(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib