turnbullwakemanasianengine.hpp

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/*
 Copyright (C) 2021 Skandinaviska Enskilda Banken AB (publ)
 
 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.
*/
 
#ifndef quantlib_turnbull_wakeman_asian_engine_hpp
#define quantlib_turnbull_wakeman_asian_engine_hpp
 
#include <ql/instruments/asianoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <utility>
 
namespace QuantLib {
 
    class TurnbullWakemanAsianEngine : public DiscreteAveragingAsianOption::engine {
      public:
        explicit TurnbullWakemanAsianEngine(ext::shared_ptr<GeneralizedBlackScholesProcess> process)
        : process_(std::move(process)) {
            registerWith(process_);
        }
 
        void calculate() const override;
 
      private:
        ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
    };
 
}
 
#endif