1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ 2 3 /* 4 Copyright (C) 2014 Bernd Lewerenz 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 continuousarithmeticasianvecerengine.hpp 21 \brief Vecer engine for continuous arithmetic Asian options 22 */ 23 24 #ifndef quantlib_continuous_arithmetic_asian_vecer_engine_hpp 25 #define quantlib_continuous_arithmetic_asian_vecer_engine_hpp 26 27 #include <ql/instruments/asianoption.hpp> 28 #include <ql/processes/blackscholesprocess.hpp> 29 30 namespace QuantLib { 31 32 //! Vecer engine for continuous-avaeraging Asian options 33 /*! See <http://www.stat.columbia.edu/~vecer/asian-vecer.pdf> */ 34 class ContinuousArithmeticAsianVecerEngine 35 : public ContinuousAveragingAsianOption::engine { 36 public: 37 ContinuousArithmeticAsianVecerEngine( 38 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process, 39 const Handle<Quote>& currentAverage, 40 Date startDate, 41 Size timeSteps = 100, 42 Size assetSteps = 100, 43 Real z_min = -1.0, 44 Real z_max = 1.0); 45 void calculate() const; 46 protected: 47 // Replication of average by holding this amount in assets 48 Real cont_strategy(Time t, Time T1,Time T2,Real v, Real r) const; 49 private: 50 ext::shared_ptr<GeneralizedBlackScholesProcess> process_; 51 Handle<Quote> currentAverage_ ; 52 Date startDate_; 53 Real z_min_; 54 Real z_max_; 55 Size timeSteps_; 56 Size assetSteps_; 57 }; 58 59 } 60 61 62 #endif 63