quantlib.instruments.asian_options.

DiscreteAveragingAsianOption

class DiscreteAveragingAsianOption(AverageType average_type, StrikedTypePayoff payoff, Exercise exercise, list fixing_dates, running_accum=None, past_fixings=None, all_past_fixings=None)

Bases: OneAssetOption

Discrete-averaging Asian option

Parameters:
average_type: Enum (Arithmetic or Geometric)
payoffStrikedTypePayoff
exerciseExercise
fixing_dateslist of dates
running_accumfloat, optional
past_fixingsfloat, optional
all_past_fixings: list of float, optional
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.