ContinuousAveragingAsianOption Class Reference
[Financial instruments]
Continuous-averaging Asian option.
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#include <ql/instruments/asianoption.hpp>
Inheritance diagram for ContinuousAveragingAsianOption:

Classes | |
| class | arguments |
| Extra arguments for single-asset continuous-average Asian option. More... | |
| class | engine |
| Continuous-averaging Asian engine base class. More... | |
Public Member Functions | |
| ContinuousAveragingAsianOption (Average::Type averageType, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) | |
| void | setupArguments (PricingEngine::arguments *) const |
Protected Attributes | |
| Average::Type | averageType_ |
Detailed Description
Continuous-averaging Asian option.
- Possible enhancements:
- add running average
Member Function Documentation
| void setupArguments | ( | PricingEngine::arguments * | ) | const [virtual] |