Class ArithmeticAPOHestonPathPricer

Namespace

NanoQL.PricingEngines

Assembly

NanoQL.dll

The path pricer of a discrete arithmetic average-price Asian option on a Heston path: the discounted payoff at the average of the asset's values at the fixing indices and the past fixings.

public sealed class ArithmeticAPOHestonPathPricer : PathPricer<MultiPath>

Inheritance

object

PathPricer<MultiPath>

ArithmeticAPOHestonPathPricer

Inherited Members

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

QuantLib's. The engine gives an index once per fixing on its time, so a fixing date given twice counts twice, where QuantLib's engine gives each time once.

Constructors

ArithmeticAPOHestonPathPricer(OptionType, double, double, ImmutableArray<int>, double, int)

Initializes a new instance of the ArithmeticAPOHestonPathPricer class.

public ArithmeticAPOHestonPathPricer(OptionType type, double strike, double discount, ImmutableArray<int> fixingIndices, double runningSum = 0, int pastFixings = 0)

Parameters

type OptionType

The option type.

strike double

The strike, non-negative.

discount double

The discount factor to the exercise.

fixingIndices ImmutableArray<int>

The path's indices at the fixings, one per fixing.

runningSum double

The sum of the past fixings.

pastFixings int

The number of past fixings.

Exceptions

ArgumentException

The strike is negative ("strike less than zero not allowed"), or the indices are the default array.

ArgumentOutOfRangeException

pastFixings or an index is negative.

Methods

Evaluate(MultiPath)

Prices a path.

public override double Evaluate(MultiPath path)

Parameters

path MultiPath

The path.

Returns

double

The discounted payoff.

Exceptions

ArgumentNullException

path is null.

NanoQLException

The path is empty.

ArgumentException

A fixing index is past path's end, where QuantLib reads past it.