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

Real: error estimate on the NPV when available

exercise

Exercise

gamma

is_expired

bool: whether the instrument might have value greater than zero.

itm_cash_probability

net_present_value

The net present value of the instrument.

npv

A shortcut to the net_present_value property.

payoff

Payoff

rho

strike_sensitivity

theta

theta_per_day

valuation_date

Date: the date the net present value refers to.

vega

Methods

set_pricing_engine(self, PricingEngine engine)

Sets the pricing engine to be used.