quantlib.instruments.asian_options.

ContinuousAveragingAsianOption

class ContinuousAveragingAsianOption(AverageType average_type, StrikedTypePayoff payoff, Exercise exercise)

Bases: OneAssetOption

Continuous-averaging Asian option

Parameters:

average_type: Enum (Arithmetic or Geometric)

payoffStrikedTypePayoff

exerciseExercise

Attributes:

delta

delta_forward

dividend_rho

elasticity

error_estimate

Instrument.error_estimate: Real

exercise

Option.exercise: Exercise

gamma

is_expired

Instrument.is_expired: bool

itm_cash_probability

net_present_value

Instrument net present value.

npv

Shortcut to the net_present_value property.

payoff

Option.payoff: Payoff

rho

strike_sensitivity

theta

theta_per_day

valuation_date

the date the net present value refers to.

vega

Methods

set_pricing_engine(self, PricingEngine engine)

Sets the pricing engine.