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discretegeometricaso.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl

 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
 <http://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 discretegeometricaso.hpp
    \brief Discrete geometric average-strike Asian option
*/

#ifndef quantlib_discrete_geometric_average_strike_option_h
#define quantlib_discrete_geometric_average_strike_option_h

#include <ql/legacy/pricers/singleassetoption.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <vector>

namespace QuantLib {

    //! Discrete geometric average-strike Asian option (European style)
    /*! This class implements a discrete geometric average strike
         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, pag65-97
    */
00039     class DiscreteGeometricASO : public SingleAssetOption    {
      public:
        DiscreteGeometricASO(Option::Type type,
                             Real underlying,
                             Spread dividendYield,
                             Rate riskFreeRate,
                             const std::vector<Time>& times,
                             Volatility volatility);
        Real value() const;
        Real delta() const {return 0.0;}
        Real gamma() const {return 0.0;}
        Real theta() const {return 0.0;}
        boost::shared_ptr<SingleAssetOption> clone() const;
      private:
        static const CumulativeNormalDistribution f_;
        std::vector<Time> times_;
    };


    // inline definitions
    inline boost::shared_ptr<SingleAssetOption>
    DiscreteGeometricASO::clone() const {
        return boost::shared_ptr<SingleAssetOption>(
                                             new DiscreteGeometricASO(*this));
    }

}


#endif

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