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
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
|
/* -*- 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 ext::shared_ptr<StrikedTypePayoff>& payoff,
const ext::shared_ptr<Exercise>& exercise);
void setupArguments(PricingEngine::arguments*) const override;
protected:
Average::Type averageType_;
};
//! Discrete-averaging Asian option
/*! \ingroup instruments */
class DiscreteAveragingAsianOption : public OneAssetOption {
public:
class arguments;
class engine;
/*! This constructor takes the running sum or product of past fixings,
depending on the average type. The fixing dates passed here can be
only the future ones.
*/
DiscreteAveragingAsianOption(Average::Type averageType,
Real runningAccumulator,
Size pastFixings,
std::vector<Date> fixingDates,
const ext::shared_ptr<StrikedTypePayoff>& payoff,
const ext::shared_ptr<Exercise>& exercise);
/*! This constructor takes past fixings as a vector, defaulting to an empty
vector representing an unseasoned option. This constructor expects *all* fixing dates
to be provided, including those in the past, and to be already sorted. During the
calculations, the option will compare them to the evaluation date to determine which
are historic; it will then take as many values from allPastFixings as needed and ignore
the others. If not enough fixings are provided, it will raise an error.
*/
DiscreteAveragingAsianOption(Average::Type averageType,
std::vector<Date> fixingDates,
const ext::shared_ptr<StrikedTypePayoff>& payoff,
const ext::shared_ptr<Exercise>& exercise,
std::vector<Real> allPastFixings = std::vector<Real>());
void setupArguments(PricingEngine::arguments*) const override;
protected:
Average::Type averageType_;
Real runningAccumulator_;
Size pastFixings_;
std::vector<Date> fixingDates_;
// For backwards compatibility with the traditional interface, we keep track of
// whether this option was initialised using the full array of seasoned fixings
// (even if empty) or if a pastFixings and a runningAccumulator was provided
bool allPastFixingsProvided_;
std::vector<Real> allPastFixings_;
};
//! 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 override;
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 override;
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
|
