choiasianengine.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2025 Klaus Spanderen
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
/*! \file choiasianengine.hpp
    \brief Black Scholes arithmetic Asian option engine
*/
 
#ifndef quantlib_choi_asian_engine_hpp
#define quantlib_choi_asian_engine_hpp
 
#include <ql/pricingengine.hpp>
#include <ql/instruments/asianoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
 
namespace QuantLib {
    //! 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
 
        \ingroup asianengines
    */
    
    class ChoiAsianEngine : public DiscreteAveragingAsianOption::engine {
      public:
        explicit ChoiAsianEngine(
            ext::shared_ptr<GeneralizedBlackScholesProcess> p,
            Real lambda = 15,
            Size maxNrIntegrationSteps = 2 << 21);
 
        void calculate() const override;
 
      private:
        const ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
        const Real lambda_;
        const Size maxNrIntegrationSteps_;
    };
}
 
#endif