analytic_cont_geom_av_price.hpp

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