ContinuousAveragingAsianOption (3) - Linux Man Pages
ContinuousAveragingAsianOption: Continuous-averaging Asian option.
QuantLib::ContinuousAveragingAsianOption - Continuous-averaging Asian option.
Extra arguments for single-asset continuous-average Asian option.
Continuous-averaging Asian engine base class.
Public Member Functions
ContinuousAveragingAsianOption (Average::Type averageType, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise)
void setupArguments (PricingEngine::arguments *) const
Continuous-averaging Asian option.
- add running average
Member Function Documentation
void setupArguments (PricingEngine::arguments *) const [virtual]
When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Option.
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