Class ContinuousAveragingAsianOption

Namespace

NanoQL.Instruments

Assembly

NanoQL.dll

A continuous-averaging Asian option: its payoff reads the arithmetic or geometric average of the underlying over the averaging period.

public sealed class ContinuousAveragingAsianOption : OneAssetOption

Inheritance

object

Instrument

Option

OneAssetOption

ContinuousAveragingAsianOption

Inherited Members

OneAssetOption.IsExpired(EvaluationContext)

OneAssetOption.SetupExpired()

OneAssetOption.FetchResults(InstrumentResults)

Option.Validate()

Option.Payoff

Option.Exercise

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

Immutable. The unseasoned option averages from the evaluation date; the seasoned one names the date its averaging began, the current average being market data an engine takes.

Constructors

ContinuousAveragingAsianOption(AverageType, StrikedTypePayoff, Exercise)

Initializes a new instance of the ContinuousAveragingAsianOption class for an unseasoned option, whose averaging hasn't started.

public ContinuousAveragingAsianOption(AverageType averageType, StrikedTypePayoff payoff, Exercise exercise)

Parameters

averageType AverageType

The averaging type.

payoff StrikedTypePayoff

The striked payoff.

exercise Exercise

The exercise.

Exceptions

ArgumentNullException

payoff or exercise is null.

ArgumentOutOfRangeException

averageType isn't a member of its type.

ContinuousAveragingAsianOption(AverageType, Date, StrikedTypePayoff, Exercise)

Initializes a new instance of the ContinuousAveragingAsianOption class for a seasoned option, whose averaging began on a date.

public ContinuousAveragingAsianOption(AverageType averageType, Date startDate, StrikedTypePayoff payoff, Exercise exercise)

Parameters

averageType AverageType

The averaging type.

startDate Date

The date the averaging began.

payoff StrikedTypePayoff

The striked payoff.

exercise Exercise

The exercise.

Exceptions

ArgumentNullException

payoff or exercise is null.

ArgumentOutOfRangeException

averageType isn't a member of its type, or startDate is the default date.

Properties

AverageType

Gets the averaging type.

public AverageType AverageType { get; }

Property Value

AverageType

StartDate

Gets the date the averaging began; null for an unseasoned option.

public Date? StartDate { get; }

Property Value

Date?