ContinuousArithmeticAsianVecerEngine Class Reference

Vecer engine for continuous-avaeraging Asian options. More...

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

Inheritance diagram for ContinuousArithmeticAsianVecerEngine:

Public Member Functions
	ContinuousArithmeticAsianVecerEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process, Handle< Quote > currentAverage, Date startDate, Size timeSteps=100, Size assetSteps=100, Real z_min=-1.0, Real z_max=1.0)
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 ()

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

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

Vecer engine for continuous-avaeraging Asian options.

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

Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.