QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
experimental
exoticoptions
continuousarithmeticasianlevyengine.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) 2011 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
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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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/*! \file continuousarithmeticasianlevyengine.hpp
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\brief Levy engine for continuous arithmetic Asian options
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*/
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#ifndef quantlib_continuous_arithmetic_asian_levy_engine_hpp
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#define quantlib_continuous_arithmetic_asian_levy_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
ContinuousArithmeticAsianLevyEngine
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:
public
ContinuousAveragingAsianOption::engine
{
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public
:
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ContinuousArithmeticAsianLevyEngine
(ext::shared_ptr<GeneralizedBlackScholesProcess> process,
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Handle<Quote>
currentAverage,
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Date
startDate);
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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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Handle<Quote>
currentAverage_
;
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Date
startDate_
;
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};
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}
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#endif
asianoption.hpp
Asian option on a single asset.
blackscholesprocess.hpp
Black-Scholes processes.
QuantLib::ContinuousArithmeticAsianLevyEngine
Definition:
continuousarithmeticasianlevyengine.hpp:33
QuantLib::ContinuousArithmeticAsianLevyEngine::calculate
void calculate() const override
Definition:
continuousarithmeticasianlevyengine.cpp:40
QuantLib::ContinuousArithmeticAsianLevyEngine::currentAverage_
Handle< Quote > currentAverage_
Definition:
continuousarithmeticasianlevyengine.hpp:42
QuantLib::ContinuousArithmeticAsianLevyEngine::startDate_
Date startDate_
Definition:
continuousarithmeticasianlevyengine.hpp:43
QuantLib::ContinuousArithmeticAsianLevyEngine::process_
ext::shared_ptr< GeneralizedBlackScholesProcess > process_
Definition:
continuousarithmeticasianlevyengine.hpp:41
QuantLib::ContinuousAveragingAsianOption::engine
Continuous-averaging Asian engine base class.
Definition:
asianoption.hpp:131
QuantLib::Date
Concrete date class.
Definition:
date.hpp:125
QuantLib::Handle
Shared handle to an observable.
Definition:
handle.hpp:41
QuantLib
Definition:
any.hpp:35
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