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))

  • payoff (StrikedTypePayoff)

  • exercise (Exercise)

  • fixing_dates (list of dates)

  • running_accum (float, optional)

  • past_fixings (float, optional)

  • all_past_fixings (list of float, optional)

__init__(*args, **kwargs)

Methods

__init__(*args, **kwargs)

set_pricing_engine(self, PricingEngine engine)

Sets the pricing engine.

Attributes

delta

delta_forward

dividend_rho

elasticity

exercise

gamma

is_expired

itm_cash_probability

net_present_value

Instrument net present value.

npv

Shortcut to the net_present_value property.

payoff

rho

strike_sensitivity

theta

theta_per_day

valuation_date

vega