QuantLib 0.3.7 http://quantlib.org Getting started Introduction Project overview Where to get QuantLib Installation Usage Version history Additional resources The QuantLib group Copyright and license Reference manual Modules Class Hierarchy Compound List File List Compound Members File Members Todo List Known Bugs Test Suite Deprecated Features Examples

ContinuousGeometricAPO Class Reference #include <ql/Pricers/continuousgeometricapo.hpp> List of all members. Detailed Description Continuous geometric average-price option (European exercise). This class implements a continuous geometric average price asian option with european exercise. The formula is from "Option Pricing Formulas", E. G. Haug (1997) pag 96-97 Deprecated: use ContinuousAveragingAsianOption with AnalyticContinuousAveragingAsianEngine instead Public Member Functions   ContinuousGeometricAPO (Option::Type type, Real underlying, Real strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, Volatility volatility) Real  value () const Real  delta () const Real  gamma () const Real  theta () const Real  vega () const Real  rho () const Real  dividendRho () const

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