QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
Public Member Functions | Protected Member Functions | List of all members
ContinuousArithmeticAsianVecerEngine Class Reference

Vecer engine for continuous-avaeraging Asian options. More...

#include <ql/experimental/exoticoptions/continuousarithmeticasianvecerengine.hpp>

+ Inheritance diagram for ContinuousArithmeticAsianVecerEngine:

Public Member Functions

 ContinuousArithmeticAsianVecerEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, const Handle< Quote > &currentAverage, Date startDate, Size timeSteps=100, Size assetSteps=100, Real z_min=-1.0, Real z_max=1.0)
 
void calculate () const
 
- Public Member Functions inherited from GenericEngine< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::results >
PricingEngine::arguments * getArguments () const
 
const PricingEngine::results * getResults () const
 
void reset ()
 
void update ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set< boost::shared_ptr< Observable > >::iterator, bool > registerWith (const boost::shared_ptr< Observable > &)
 
void registerWithObservables (const boost::shared_ptr< Observer > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Protected Member Functions

Real cont_strategy (Time t, Time T1, Time T2, Real v, Real r) const
 

Additional Inherited Members

- Protected Attributes inherited from GenericEngine< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::results >
ContinuousAveragingAsianOption::arguments arguments_
 
ContinuousAveragingAsianOption::results results_
 

Detailed Description

Vecer engine for continuous-avaeraging Asian options.

See http://www.stat.columbia.edu/~vecer/asian-vecer.pdf