QuantLib: a free/open-source library for quantitative finance
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continuousarithmeticasianlevyengine.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2011 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file continuousarithmeticasianlevyengine.hpp
21 \brief Levy engine for continuous arithmetic Asian options
22*/
23
24#ifndef quantlib_continuous_arithmetic_asian_levy_engine_hpp
25#define quantlib_continuous_arithmetic_asian_levy_engine_hpp
26
29
30namespace QuantLib {
31
34 public:
35 ContinuousArithmeticAsianLevyEngine(ext::shared_ptr<GeneralizedBlackScholesProcess> process,
36 Handle<Quote> currentAverage,
37 Date startDate);
38 void calculate() const override;
39
40 private:
41 ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
44 };
45
46}
47
48
49#endif
Asian option on a single asset.
Black-Scholes processes.
ext::shared_ptr< GeneralizedBlackScholesProcess > process_
Continuous-averaging Asian engine base class.
Concrete date class.
Definition: date.hpp:125
Shared handle to an observable.
Definition: handle.hpp:41
Definition: any.hpp:35