/usr/include/ql/experimental/exoticoptions/continuousarithmeticasianvecerengine.hpp is in libquantlib0-dev 1.7.1-1.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2014 Bernd Lewerenz
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file continuousarithmeticasianvecerengine.hpp
\brief Vecer engine for continuous arithmetic Asian options
*/
#ifndef quantlib_continuous_arithmetic_asian_vecer_engine_hpp
#define quantlib_continuous_arithmetic_asian_vecer_engine_hpp
#include <ql/instruments/asianoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
namespace QuantLib {
//! Vecer engine for continuous-avaeraging Asian options
/*! See <http://www.stat.columbia.edu/~vecer/asian-vecer.pdf> */
class ContinuousArithmeticAsianVecerEngine
: public ContinuousAveragingAsianOption::engine {
public:
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;
protected:
// Replication of average by holding this amount in assets
Real cont_strategy(Time t, Time T1,Time T2,Real v, Real r) const;
private:
boost::shared_ptr<GeneralizedBlackScholesProcess> process_;
Handle<Quote> currentAverage_ ;
Date startDate_;
Real z_min_;
Real z_max_;
Size timeSteps_;
Size assetSteps_;
};
}
#endif
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