Re: [Quantlib-dev] quantlib asian options

[Luigi B. <lui...@gm...>]

Kakhkhor,
	sorry I didn't have time to look at the problem.  Do you mind adding
the issue to the bug tracker so it doesn't get lost?

Thanks,
	Luigi


On Mon, 2011-02-07 at 08:53 -0500, Kakhkhor Abdijalilov wrote:
> 1.0 is running accumulator value and 0 is past fixings. It means that
> only the reaming fixings are for averaging.
> 
> There is something isn't perfectly right in floating strike engine
> implementation.
> 
> These are the steps to reproduce "the bug".
> 
> 1. Set dividend yield to zero. QL and my implementation perfectly agree.
> 
> 2. Increase risk free rate and dividend yield by the same amount. This
> won't affect GBM dynamics. If we compensate for the higher discount
> factor then the prices shouldn't chance. Indeed, my implementation
> gives the same result, but QL gives slightly higher values. The
> difference is negligible (only 4th digits differ) for practical
> purposes, but it indicates that something isn't right, because
> floating strike analytical engine uses exact formula, not
> approximation
> 
> When dividend yield is zero my implementation perfectly agrees with QL.
> 
> Fixed strike prices agree in both cases (the difference only in 14th digit).
> 
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