QuantLib_DiscreteAveragingAsianOption man page

DiscreteAveragingAsianOption — Discrete-averaging Asian option.  


#include <ql/instruments/asianoption.hpp>

Inherits OneAssetOption.


class arguments
Extra arguments for single-asset discrete-average Asian option.
class engine
Discrete-averaging Asian engine base class.

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_

Additional Inherited Members

Detailed Description

Discrete-averaging Asian option.

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 Instrument.


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Referenced By

The man pages DiscreteAveragingAsianOption(3), fixingDates_(3), pastFixings_(3) and runningAccumulator_(3) are aliases of QuantLib_DiscreteAveragingAsianOption(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib