QuantLib
: a free/open-source library for quantitative finance
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ql
pricingengines
asian
analytic_cont_geom_av_price.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2003, 2004 Ferdinando Ametrano
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Copyright (C) 2007 StatPro Italia srl
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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#ifndef quantlib_analytic_continuous_geometric_average_price_asian_engine_hpp
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#define quantlib_analytic_continuous_geometric_average_price_asian_engine_hpp
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#include <ql/instruments/asianoption.hpp>
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#include <ql/processes/blackscholesprocess.hpp>
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namespace
QuantLib
{
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class
AnalyticContinuousGeometricAveragePriceAsianEngine
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:
public
ContinuousAveragingAsianOption::engine
{
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public
:
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AnalyticContinuousGeometricAveragePriceAsianEngine
(
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ext::shared_ptr<GeneralizedBlackScholesProcess> process);
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void
calculate
()
const override
;
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private
:
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ext::shared_ptr<GeneralizedBlackScholesProcess>
process_
;
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};
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}
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#endif
QuantLib::AnalyticContinuousGeometricAveragePriceAsianEngine
Pricing engine for European continuous geometric average price Asian.
Definition:
analytic_cont_geom_av_price.hpp:50
QuantLib::AnalyticContinuousGeometricAveragePriceAsianEngine::calculate
void calculate() const override
Definition:
analytic_cont_geom_av_price.cpp:36
QuantLib::AnalyticContinuousGeometricAveragePriceAsianEngine::process_
ext::shared_ptr< GeneralizedBlackScholesProcess > process_
Definition:
analytic_cont_geom_av_price.hpp:57
QuantLib::ContinuousAveragingAsianOption::engine
Continuous-averaging Asian engine base class.
Definition:
asianoption.hpp:131
QuantLib
Definition:
any.hpp:35
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