DiscreteAveragingAsianOption Class Reference

Discrete-averaging Asian option. More...

#include <ql/instruments/asianoption.hpp>

Inheritance diagram for DiscreteAveragingAsianOption:

List of all members.

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< DatefixingDates_

Detailed Description

Discrete-averaging Asian option.


Member Function Documentation

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.