Class ArithmeticASOPathPricer

Namespace

NanoQL.PricingEngines

Assembly

NanoQL.dll

The path pricer of a discrete arithmetic average-strike Asian option: the discounted payoff of the path's last value struck at the average of its fixings and the past ones.

public sealed class ArithmeticASOPathPricer : PathPricer<MonteCarloPath>

Inheritance

object

PathPricer<MonteCarloPath>

ArithmeticASOPathPricer

Inherited Members

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

QuantLib's: the path's nodes fixings but its start, which is one where the grid's first time is 0, and, where a fixing count is given, its last node the exercise after them. The engine's own route weighs each node by the number of fixings on its time, the exercise node none, so a fixing date given twice counts twice, QuantLib's sum to the bit where each time holds one fixing.

Constructors

ArithmeticASOPathPricer(OptionType, double, double, int, int?)

Initializes a new instance of the ArithmeticASOPathPricer class.

public ArithmeticASOPathPricer(OptionType type, double discount, double runningSum = 0, int pastFixings = 0, int? fixingCount = null)

Parameters

type OptionType

The option type.

discount double

The discount factor to the exercise.

runningSum double

The sum of the past fixings.

pastFixings int

The number of past fixings.

fixingCount int?

The number of the path's nodes that are fixings, its start included, or null for every node.

Exceptions

ArgumentOutOfRangeException

type isn't a member of its type, or pastFixings or fixingCount is negative.

Methods

Evaluate(MonteCarloPath)

Prices a path.

public override double Evaluate(MonteCarloPath path)

Parameters

path MonteCarloPath

The path.

Returns

double

The discounted payoff.

Exceptions

ArgumentNullException

path is null.

NanoQLException

The path has no node after its start, or the fixing count exceeds its length.