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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2003, 2004 Ferdinando Ametrano
Copyright (C) 2004, 2007 StatPro Italia srl
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 asianoption.hpp
\brief Asian option on a single asset
*/
#ifndef quantlib_asian_option_hpp
#define quantlib_asian_option_hpp
#include <ql/instruments/oneassetoption.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/instruments/averagetype.hpp>
#include <ql/time/date.hpp>
#include <vector>
namespace QuantLib {
//! Continuous-averaging Asian option
/*! \todo add running average
\ingroup instruments
*/
class ContinuousAveragingAsianOption : public OneAssetOption {
public:
class arguments;
class engine;
ContinuousAveragingAsianOption(
Average::Type averageType,
const boost::shared_ptr<StrikedTypePayoff>& payoff,
const boost::shared_ptr<Exercise>& exercise);
void setupArguments(PricingEngine::arguments*) const;
protected:
Average::Type averageType_;
};
//! Discrete-averaging Asian option
/*! \ingroup instruments */
class DiscreteAveragingAsianOption : public OneAssetOption {
public:
class arguments;
class engine;
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:
Average::Type averageType_;
Real runningAccumulator_;
Size pastFixings_;
std::vector<Date> fixingDates_;
};
//! Extra %arguments for single-asset discrete-average Asian option
class DiscreteAveragingAsianOption::arguments
: public OneAssetOption::arguments {
public:
arguments() : averageType(Average::Type(-1)),
runningAccumulator(Null<Real>()),
pastFixings(Null<Size>()) {}
void validate() const;
Average::Type averageType;
Real runningAccumulator;
Size pastFixings;
std::vector<Date> fixingDates;
};
//! Extra %arguments for single-asset continuous-average Asian option
class ContinuousAveragingAsianOption::arguments
: public OneAssetOption::arguments {
public:
arguments() : averageType(Average::Type(-1)) {}
void validate() const;
Average::Type averageType;
};
//! Discrete-averaging Asian %engine base class
class DiscreteAveragingAsianOption::engine
: public GenericEngine<DiscreteAveragingAsianOption::arguments,
DiscreteAveragingAsianOption::results> {};
//! Continuous-averaging Asian %engine base class
class ContinuousAveragingAsianOption::engine
: public GenericEngine<ContinuousAveragingAsianOption::arguments,
ContinuousAveragingAsianOption::results> {};
}
#endif
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