Class FdBlackScholesAsianEngine

Namespace: NanoQL.PricingEngines

Assembly: NanoQL.dll

The finite-difference Black-Scholes engine for discrete arithmetic average-price Asian options, on a mesher of the log spot and the log average with the average's step condition at each fixing.

public static class FdBlackScholesAsianEngine

Inheritance: object

FdBlackScholesAsianEngine

Inherited Members: object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

The value, delta and gamma, as QuantLib's. Its times run on the engine's clock, Clock(GeneralizedBlackScholesProcess, FdmQuantoHelper?), from the earliest reference date of the structures, where QuantLib takes them from the process (Divergences/AsianMismatchedTimesTests.cs); several fixings on one date are weighed by their count (FdmArithmeticAverageCondition).

A fixing dated from the evaluation date to the clock's origin, where the structures settle after the evaluation date, is taken at the origin, the spot with no variance and no discount accrued, so as a past fixing at the spot (Divergences/AsianLateSettlementTests.cs), where QuantLib refuses it as past.

Methods

Calculate(DiscreteAveragingAsianOption, EvaluationContext, GeneralizedBlackScholesProcess, int, int, int, FdmSchemeDesc?)

Prices a discrete arithmetic average-price Asian option.

public static OneAssetOptionResults Calculate(DiscreteAveragingAsianOption option, EvaluationContext context, GeneralizedBlackScholesProcess process, int tGrid = 100, int xGrid = 100, int aGrid = 50, FdmSchemeDesc? schemeDesc = null)

Parameters

option DiscreteAveragingAsianOption: The option.
context EvaluationContext: The evaluation context.
process GeneralizedBlackScholesProcess: The Black-Scholes process.
tGrid int: The number of time steps.
xGrid int: The number of spot grid points.
aGrid int: The number of average grid points.
schemeDesc FdmSchemeDesc?: The scheme; Douglas's by default.

Returns

OneAssetOptionResults: The option's results: the value, delta and gamma; the expired results when the option has expired.

Exceptions

ArgumentNullException: An argument is null.
ArgumentOutOfRangeException: A grid size is negative.
NanoQLException: The exercise isn't European, the average isn't arithmetic, a running average has no past fixing, the spot isn't positive, or the option's past fixings fail its checks.