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Classes | Public Member Functions | Protected Attributes | List of all members
DiscreteAveragingAsianOption Class Reference

Discrete-averaging Asian option. More...

#include <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< Payoffpayoff () const
 
ext::shared_ptr< Exerciseexercise () 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 DatevaluationDate () 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 &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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< DatefixingDates_
 
bool allPastFixingsProvided_
 
std::vector< RealallPastFixings_
 
- 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< Payoffpayoff_
 
ext::shared_ptr< Exerciseexercise_
 
- Protected Attributes inherited from Instrument
Real NPV_
 
Real errorEstimate_
 
Date valuationDate_
 
std::map< std::string, ext::any > additionalResults_
 
ext::shared_ptr< PricingEngineengine_
 
- 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

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.