org.jquantlib.pricingengines.asian

Class AnalyticDiscreteGeometricAveragePriceAsianEngine

java.lang.Object

org.jquantlib.pricingengines.GenericEngine<OneAssetOption.Arguments,OneAssetOption.Results>

org.jquantlib.instruments.DiscreteAveragingAsianOption.EngineImpl

org.jquantlib.pricingengines.asian.AnalyticDiscreteGeometricAveragePriceAsianEngine

All Implemented Interfaces:

Instrument.Results, OneAssetOption.Results, Option.Greeks, Option.MoreGreeks, PricingEngine, PricingEngine.Results, Observable, Observer

public class AnalyticDiscreteGeometricAveragePriceAsianEngine
extends DiscreteAveragingAsianOption.EngineImpl

Pricing engine for European discrete geometric average price Asian

This class implements a discrete geometric average price Asian option, with European exercise. The formula is from "Asian Option", E. Levy (1997) in "Exotic Options: The State of the Art", edited by L. Clewlow, C. Strickland, pag 65-97

Nested Class Summary

Nested classes/interfaces inherited from interface org.jquantlib.pricingengines.PricingEngine

PricingEngine.Arguments, PricingEngine.Results

Field Summary

Fields inherited from interface org.jquantlib.pricingengines.PricingEngine

PRICING_ENGINE_NOT_SET

Constructor Summary

Constructors

Constructor and Description
AnalyticDiscreteGeometricAveragePriceAsianEngine(GeneralizedBlackScholesProcess process)

Method Summary

Modifier and Type	Method and Description
void	calculate()

Methods inherited from class org.jquantlib.pricingengines.GenericEngine

addObserver, countObservers, deleteObserver, deleteObservers, getArguments, getObservers, getResults, notifyObservers, notifyObservers, reset, update

Methods inherited from class java.lang.Object

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

Methods inherited from interface org.jquantlib.pricingengines.PricingEngine.Results

reset

Constructor Detail

AnalyticDiscreteGeometricAveragePriceAsianEngine

public AnalyticDiscreteGeometricAveragePriceAsianEngine(GeneralizedBlackScholesProcess process)

Method Detail

calculate

public void calculate()