Pricing engine for European discrete geometric average price Asian. More...

#include <ql/pricingengines/asian/analytic_discr_geom_av_price.hpp>

Inheritance diagram for AnalyticDiscreteGeometricAveragePriceAsianEngine:

Collaboration diagram for AnalyticDiscreteGeometricAveragePriceAsianEngine:

Public Member Functions
	AnalyticDiscreteGeometricAveragePriceAsianEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process)

void	calculate () const override

Public Member Functions inherited from GenericEngine< DiscreteAveragingAsianOption::arguments, DiscreteAveragingAsianOption::results >
PricingEngine::arguments *	getArguments () const override

const PricingEngine::results *	getResults () const override

void	reset () override

void	update () override

Public Member Functions inherited from PricingEngine
	~PricingEngine () override=default

virtual arguments *	getArguments () const =0

virtual const results *	getResults () const =0

virtual void	reset ()=0

virtual void	calculate () const =0

Public Member Functions inherited from Observable
	Observable ()

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~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	update ()=0

virtual void	deepUpdate ()

Private Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	process_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Attributes inherited from GenericEngine< DiscreteAveragingAsianOption::arguments, DiscreteAveragingAsianOption::results >
DiscreteAveragingAsianOption::arguments	arguments_

DiscreteAveragingAsianOption::results	results_

Detailed Description

Pricing engine for European discrete geometric average price Asian.

This class implements a discrete geometric average price 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, pag 65-97

Tests:

the correctness of the returned value is tested by reproducing results available in literature.
the correctness of the available greeks is tested against numerical calculations.

Definition at line 49 of file analytic_discr_geom_av_price.hpp.