ChoiAsianEngine Class Reference

Pricing engine for arithmetic Asian options. More...

#include <ql/pricingengines/asian/choiasianengine.hpp>

Inheritance diagram for ChoiAsianEngine:

Public Member Functions
	ChoiAsianEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > p, Real lambda=15, Size maxNrIntegrationSteps=2<< 21)
void	calculate () const override
Public Member Functions inherited from GenericEngine< DiscreteAveragingAsianOption::arguments, DiscreteAveragingAsianOption::results >
PricingEngine::arguments *	getArguments () const override
const PricingEngine::results *	getResults () const override
void	reset () override
void	update () override
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
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 set_type::iterator	iterator
Protected Attributes inherited from GenericEngine< DiscreteAveragingAsianOption::arguments, DiscreteAveragingAsianOption::results >
DiscreteAveragingAsianOption::arguments	arguments_
DiscreteAveragingAsianOption::results	results_

Detailed Description

Pricing engine for arithmetic Asian options.

This class replicates an arithmetic Asian option using a basket option. The pricing of an arithmetic Asian option is substituted with the pricing of a basket option.

References: "Sum of all Black-Scholes-Merton Models: An efficient Pricing Method for Spread, Basket and Asian Options", Jaehyuk Choi, 2018 https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2913048

A Python implementation from the author of the paper is also available https://github.com/PyFE/PyFENG

Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.