org.jquantlib.instruments

Class DiscreteAveragingAsianOption

java.lang.Object

org.jquantlib.util.LazyObject

org.jquantlib.instruments.Instrument

org.jquantlib.instruments.Option

org.jquantlib.instruments.OneAssetOption

org.jquantlib.instruments.DiscreteAveragingAsianOption

All Implemented Interfaces:

Observable, Observer

public class DiscreteAveragingAsianOption
extends OneAssetOption

Discrete-averaging Asian option

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	DiscreteAveragingAsianOption.ArgumentsImpl Description of the terms and conditions of a discrete average out fixed strike option.
static class	DiscreteAveragingAsianOption.EngineImpl Asian option on a single asset
static class	DiscreteAveragingAsianOption.ResultsImpl

Nested classes/interfaces inherited from class org.jquantlib.instruments.OneAssetOption

OneAssetOption.Arguments, OneAssetOption.Engine, OneAssetOption.Results

Nested classes/interfaces inherited from class org.jquantlib.instruments.Option

Option.Greeks, Option.GreeksImpl, Option.MoreGreeks, Option.MoreGreeksImpl, Option.Type

Constructor Summary

Constructors

Constructor and Description
DiscreteAveragingAsianOption(AverageType averageType, double runningAccumulator, int pastFixings, java.util.List<Date> fixingDates, StrikedTypePayoff payoff, Exercise exercise)

Method Summary

Modifier and Type	Method and Description
void	setupArguments(PricingEngine.Arguments arguments) Passes arguments to be used by a PricingEngine.

Methods inherited from class org.jquantlib.instruments.OneAssetOption

delta, deltaForward, dividendRho, elasticity, fetchResults, gamma, isExpired, itmCashProbability, rho, setupExpired, strikeSensitivity, theta, thetaPerDay, vega

Methods inherited from class org.jquantlib.instruments.Instrument

errorEstimate, NPV, setPricingEngine

Methods inherited from class org.jquantlib.util.LazyObject

addObserver, countObservers, deleteObserver, deleteObservers, freeze, getObservers, notifyObservers, notifyObservers, recalculate, unfreeze, update

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

DiscreteAveragingAsianOption

public DiscreteAveragingAsianOption(AverageType averageType,
                                    double runningAccumulator,
                                    int pastFixings,
                                    java.util.List<Date> fixingDates,
                                    StrikedTypePayoff payoff,
                                    Exercise exercise)

Method Detail

setupArguments

public void setupArguments(PricingEngine.Arguments arguments)

Description copied from class: Instrument

Passes arguments to be used by a PricingEngine. When a derived argument structure is defined for an instrument, this method should be overridden to fill it.

See Also:

Instrument.Arguments, PricingEngine