1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2 
3 /*
4  Copyright (C) 2011 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
5 
6  This file is part of QuantLib, a free-software/open-source library
7  for financial quantitative analysts and developers - http://quantlib.org/
8 
9  QuantLib is free software: you can redistribute it and/or modify it
10  under the terms of the QuantLib license.  You should have received a
11  copy of the license along with this program; if not, please email
12  <quantlib-dev@lists.sf.net>. The license is also available online at
13  <http://quantlib.org/license.shtml>.
14 
15  This program is distributed in the hope that it will be useful, but WITHOUT
16  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17  FOR A PARTICULAR PURPOSE.  See the license for more details.
18 */
19 
20 /*! \file continuousarithmeticasianlevyengine.hpp
21     \brief Levy engine for continuous arithmetic Asian options
22 */
23 
24 #ifndef quantlib_continuous_arithmetic_asian_levy_engine_hpp
25 #define quantlib_continuous_arithmetic_asian_levy_engine_hpp
26 
27 #include <ql/instruments/asianoption.hpp>
28 #include <ql/processes/blackscholesprocess.hpp>
29 
30 namespace QuantLib {
31 
32     class ContinuousArithmeticAsianLevyEngine
33         : public ContinuousAveragingAsianOption::engine {
34       public:
35         ContinuousArithmeticAsianLevyEngine(
36             const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
37             const Handle<Quote>& currentAverage,
38             Date startDate);
39         void calculate() const;
40       private:
41         ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
42         Handle<Quote> currentAverage_ ;
43         Date startDate_;
44     };
45 
46 }
47 
48 
49 #endif
50