ContinuousArithmeticAsianLevyEngine Class Reference

Levy engine for continuously averaged arithmetic Asian options. More...

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

Inheritance diagram for ContinuousArithmeticAsianLevyEngine:

Public Member Functions
	ContinuousArithmeticAsianLevyEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process, Handle< Quote > currentAverage)
	ContinuousArithmeticAsianLevyEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process, Handle< Quote > currentAverage, Date startDate)
void	calculate () const override
Public Member Functions inherited from GenericEngine< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::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< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::results >
ContinuousAveragingAsianOption::arguments	arguments_
ContinuousAveragingAsianOption::results	results_

Detailed Description

Levy engine for continuously averaged arithmetic Asian options.

Formulas from Haug, "Option Pricing Formulas".

Constructor & Destructor Documentation

ContinuousArithmeticAsianLevyEngine()

ContinuousArithmeticAsianLevyEngine	(	ext::shared_ptr< GeneralizedBlackScholesProcess >	process,
		Handle< Quote >	currentAverage,
		Date	startDate )

Deprecated

Use the other constructor and pass the start date to the option instead. Deprecated in version 1.41.

Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.