24#ifndef quantlib_continuous_arithmetic_asian_vecer_engine_hpp
25#define quantlib_continuous_arithmetic_asian_vecer_engine_hpp
27#include <ql/instruments/asianoption.hpp>
28#include <ql/processes/blackscholesprocess.hpp>
38 ext::shared_ptr<GeneralizedBlackScholesProcess> process,
42 Size assetSteps = 100,
51 ext::shared_ptr<GeneralizedBlackScholesProcess>
process_;
Vecer engine for continuous-avaeraging Asian options.
Real cont_strategy(Time t, Time T1, Time T2, Real v, Real r) const
void calculate() const override
Handle< Quote > currentAverage_
ext::shared_ptr< GeneralizedBlackScholesProcess > process_
Continuous-averaging Asian engine base class.
Shared handle to an observable.
Real Time
continuous quantity with 1-year units
std::size_t Size
size of a container