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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2011 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
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
<https://www.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 continuousarithmeticasianlevyengine.hpp
\brief Levy engine for continuous arithmetic Asian options
*/
#ifndef quantlib_continuous_arithmetic_asian_levy_engine_hpp
#define quantlib_continuous_arithmetic_asian_levy_engine_hpp
#include <ql/instruments/asianoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
namespace QuantLib {
//! Levy engine for continuously averaged arithmetic Asian options
/*! Formulas from Haug, "Option Pricing Formulas".
\ingroup asianengines
*/
class ContinuousArithmeticAsianLevyEngine
: public ContinuousAveragingAsianOption::engine {
public:
ContinuousArithmeticAsianLevyEngine(ext::shared_ptr<GeneralizedBlackScholesProcess> process,
Handle<Quote> currentAverage);
/*! \deprecated Use the other constructor and pass the start date to the option instead.
Deprecated in version 1.41.
*/
[[deprecated("Use the other constructor and pass the start date to the option instead")]]
ContinuousArithmeticAsianLevyEngine(ext::shared_ptr<GeneralizedBlackScholesProcess> process,
Handle<Quote> currentAverage,
Date startDate);
void calculate() const override;
private:
ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
Handle<Quote> currentAverage_ ;
Date startDate_;
};
}
#endif
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