DiscreteGeometricASO Class Reference

#include <discretegeometricaso.hpp>

Inheritance diagram for DiscreteGeometricASO:

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List of all members.

Detailed Description

Discrete Geometric Average Strike Asian Option (European style).

This class implements a discrete geometric average strike asian option, with european exercise. The formula is from "Asian Option", E. Levy (1997) in "Exotic Options: The State of the Art", edited by L. Clewlow, C. Strickland, pag65-97

Todo:
add analytical greeks


Public Member Functions

 DiscreteGeometricASO (Option::Type type, double underlying, Spread dividendYield, Rate riskFreeRate, const std::vector< Time > &times, double volatility)
double value () const
double delta () const
double gamma () const
double theta () const
Handle< SingleAssetOptionclone () const


The documentation for this class was generated from the following files:

QuantLib.org
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