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

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

Inheritance diagram for AnalyticContinuousGeometricAveragePriceAsianEngine:

Collaboration diagram for AnalyticContinuousGeometricAveragePriceAsianEngine:

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

void	calculate () const override

Public Member Functions inherited from GenericEngine< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::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< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::results >
ContinuousAveragingAsianOption::arguments	arguments_

ContinuousAveragingAsianOption::results	results_

Detailed Description

Pricing engine for European continuous geometric average price Asian.

This class implements a continuous geometric average price Asian option with European exercise. The formula is from "Option Pricing Formulas", E. G. Haug (1997) pag 96-97.

Tests:

the correctness of the returned value is tested by reproducing results available in literature, and results obtained using a discrete average approximation.
the correctness of the returned greeks is tested by reproducing numerical derivatives.

Definition at line 49 of file analytic_cont_geom_av_price.hpp.