24#ifndef quantlib_fd_black_scholes_asian_engine_hpp
25#define quantlib_fd_black_scholes_asian_engine_hpp
27#include <ql/pricingengine.hpp>
28#include <ql/instruments/asianoption.hpp>
29#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
38 class GeneralizedBlackScholesProcess;
41 :
public GenericEngine<DiscreteAveragingAsianOption::arguments,
42 DiscreteAveragingAsianOption::results> {
46 ext::shared_ptr<GeneralizedBlackScholesProcess>,
55 const ext::shared_ptr<GeneralizedBlackScholesProcess>
process_;
void calculate() const override
const ext::shared_ptr< GeneralizedBlackScholesProcess > process_
const FdmSchemeDesc schemeDesc_
template base class for option pricing engines
std::size_t Size
size of a container
static FdmSchemeDesc Douglas()