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

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

Hi Eric,
    I've had a look at the code and it seems ok.  You're using the
runningAccumulator and pastFixings as required.  The fixing dates
would work either way (just the remaining ones or all of them) since
the engine discards past fixing dates during calculation.  If the
option defined an inspector for the fixing dates, we could have a
philosophical argument until the cows come home about what we should
want it to show.  But there's no such inspector right now, so we can
save some time :)

Regards,
    Luigi


On Fri, Nov 9, 2012 at 8:05 PM, Eric Butter <em...@er...> wrote:
> 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
>
>
>
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