DiscreteAveragingAsianOption Class Reference

Discrete-averaging Asian option. More...

#include <ql/instruments/asianoption.hpp>

Inheritance diagram for DiscreteAveragingAsianOption:

Collaboration diagram for DiscreteAveragingAsianOption:

Classes
class	arguments
	Extra arguments for single-asset discrete-average Asian option. More...
class	engine
	Discrete-averaging Asian engine base class. More...

Public Member Functions
	DiscreteAveragingAsianOption (Average::Type averageType, Real runningAccumulator, Size pastFixings, std::vector< Date > fixingDates, const ext::shared_ptr< StrikedTypePayoff > &payoff, const ext::shared_ptr< Exercise > &exercise)
	DiscreteAveragingAsianOption (Average::Type averageType, std::vector< Date > fixingDates, const ext::shared_ptr< StrikedTypePayoff > &payoff, const ext::shared_ptr< Exercise > &exercise, std::vector< Real > allPastFixings=std::vector< Real >())
void	setupArguments (PricingEngine::arguments *) const override
Public Member Functions inherited from OneAssetOption
	OneAssetOption (const ext::shared_ptr< Payoff > &, const ext::shared_ptr< Exercise > &)
bool	isExpired () const override
	returns whether the instrument might have value greater than zero. More...
Real	delta () const
Real	deltaForward () const
Real	elasticity () const
Real	gamma () const
Real	theta () const
Real	thetaPerDay () const
Real	vega () const
Real	rho () const
Real	dividendRho () const
Real	strikeSensitivity () const
Real	itmCashProbability () const
void	fetchResults (const PricingEngine::results *) const override
Public Member Functions inherited from Option
	Option (ext::shared_ptr< Payoff > payoff, ext::shared_ptr< Exercise > exercise)
void	setupArguments (PricingEngine::arguments *) const override
ext::shared_ptr< Payoff >	payoff () const
ext::shared_ptr< Exercise >	exercise () const
Public Member Functions inherited from Instrument
	Instrument ()
Real	NPV () const
	returns the net present value of the instrument. More...
Real	errorEstimate () const
	returns the error estimate on the NPV when available. More...
const Date &	valuationDate () const
	returns the date the net present value refers to. More...
template<typename T >
T	result (const std::string &tag) const
	returns any additional result returned by the pricing engine. More...
const std::map< std::string, ext::any > &	additionalResults () const
	returns all additional result returned by the pricing engine. More...
void	setPricingEngine (const ext::shared_ptr< PricingEngine > &)
	set the pricing engine to be used. More...
Public Member Functions inherited from LazyObject
	LazyObject ()
	~LazyObject () override=default
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
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 ()

Protected Attributes
Average::Type	averageType_
Real	runningAccumulator_
Size	pastFixings_
std::vector< Date >	fixingDates_
bool	allPastFixingsProvided_
std::vector< Real >	allPastFixings_
Protected Attributes inherited from OneAssetOption
Real	delta_
Real	deltaForward_
Real	elasticity_
Real	gamma_
Real	theta_
Real	thetaPerDay_
Real	vega_
Real	rho_
Real	dividendRho_
Real	strikeSensitivity_
Real	itmCashProbability_
Protected Attributes inherited from Option
ext::shared_ptr< Payoff >	payoff_
ext::shared_ptr< Exercise >	exercise_
Protected Attributes inherited from Instrument
Real	NPV_
Real	errorEstimate_
Date	valuationDate_
std::map< std::string, ext::any >	additionalResults_
ext::shared_ptr< PricingEngine >	engine_
Protected Attributes inherited from LazyObject
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Additional Inherited Members
Public Types inherited from Option
enum	Type { Put = -1 , Call = 1 }
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Member Functions inherited from OneAssetOption
void	setupExpired () const override
Protected Member Functions inherited from Instrument
void	calculate () const override
void	performCalculations () const override
Protected Member Functions inherited from LazyObject
Related Functions inherited from Option
std::ostream &	operator<< (std::ostream &, Option::Type)

Detailed Description

Discrete-averaging Asian option.

Definition at line 57 of file asianoption.hpp.

Constructor & Destructor Documentation

DiscreteAveragingAsianOption() [1/2]

DiscreteAveragingAsianOption	(	Average::Type	averageType,
		Real	runningAccumulator,
		Size	pastFixings,
		std::vector< Date >	fixingDates,
		const ext::shared_ptr< StrikedTypePayoff > &	payoff,
		const ext::shared_ptr< Exercise > &	exercise
	)

This constructor takes the running sum or product of past fixings, depending on the average type. The fixing dates passed here can be only the future ones.

Definition at line 29 of file asianoption.cpp.

DiscreteAveragingAsianOption() [2/2]

DiscreteAveragingAsianOption	(	Average::Type	averageType,
		std::vector< Date >	fixingDates,
		const ext::shared_ptr< StrikedTypePayoff > &	payoff,
		const ext::shared_ptr< Exercise > &	exercise,
		std::vector< Real >	allPastFixings = std::vector<Real>()
	)

This constructor takes past fixings as a vector, defaulting to an empty vector representing an unseasoned option. This constructor expects all fixing dates to be provided, including those in the past, and to be already sorted. During the calculations, the option will compare them to the evaluation date to determine which are historic; it will then take as many values from allPastFixings as needed and ignore the others. If not enough fixings are provided, it will raise an error.

Definition at line 54 of file asianoption.cpp.

Member Function Documentation

setupArguments()

void setupArguments ( PricingEngine::arguments *  ) const

overridevirtual

When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.

Definition at line 64 of file asianoption.cpp.

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Member Data Documentation

averageType_

Average::Type averageType_

protected

Definition at line 88 of file asianoption.hpp.

runningAccumulator_

Real runningAccumulator_

protected

Definition at line 89 of file asianoption.hpp.

pastFixings_

Size pastFixings_

protected

Definition at line 90 of file asianoption.hpp.

fixingDates_

std::vector<Date> fixingDates_

protected

Definition at line 91 of file asianoption.hpp.

allPastFixingsProvided_

bool allPastFixingsProvided_

protected

Definition at line 96 of file asianoption.hpp.

allPastFixings_

std::vector<Real> allPastFixings_

protected

Definition at line 97 of file asianoption.hpp.