[Quantlib-dev] Clarification: AsianOption in the middle of its path

[Eric B. <em...@er...>]

Hi everyone,

I have been calculating NPV and Greeks at intermediate points along the
path of an asian option; I want to throw my technique into RQuantLib -- but
first I want some validation that what I am doing is kosher.  :)

Right now I am using DiscreteAveragingAsianOption and
AnalyticDiscreteGeometric...Engine, pre-setting the runningAccumulator to
the product of the previous prices, pastFixings to the number of previous
time points, fixingDates to only the **remaining** time points.

I have been getting answers that look good to me, but does 1. hacking the
fixtures arguments this way and 2. only using the remaining fixing dates
get an a.okay from the guys who designed this in the first place?  Is there
a better way to do this?

Thanks for all the time you have put into this useful software,

Eric