- QuantLib
- DiscreteAveragingAsianOption
 
Discrete-averaging Asian option. More...
#include <ql/instruments/asianoption.hpp>

| Classes | |
| class | arguments | 
| Extra arguments for single-asset discrete-average Asian option.  More... | |
| class | engine | 
| Discrete-averaging Asian engine base class.  More... | |
| Public Member Functions | |
| DiscreteAveragingAsianOption (Average::Type averageType, Real runningAccumulator, Size pastFixings, const std::vector< Date > &fixingDates, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) | |
| void | setupArguments (PricingEngine::arguments *) const | 
| Protected Attributes | |
| Average::Type | averageType_ | 
| Real | runningAccumulator_ | 
| Size | pastFixings_ | 
| std::vector< Date > | fixingDates_ | 
Discrete-averaging Asian option.
| 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.