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.