NAME

ql/instruments/asianoption.hpp - Asian option on a single asset.

SYNOPSIS


#include <ql/instruments/oneassetoption.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/instruments/averagetype.hpp>
#include <ql/time/date.hpp>
#include <vector>

Classes


class ContinuousAveragingAsianOption
Continuous-averaging Asian option.
class DiscreteAveragingAsianOption
Discrete-averaging Asian option.
class arguments
Extra arguments for single-asset discrete-average Asian option.
class arguments
Extra arguments for single-asset continuous-average Asian option.
class engine
Discrete-averaging Asian engine base class.
class engine
Continuous-averaging Asian engine base class.

Detailed Description

Asian option on a single asset.

Author

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