[Quantlib-dev] startDate > referenceDate() in ContinuousArithmeticAsianLevyEngine?

[Klaus S. <kl...@sp...>]

Hi all,

I have a question with respect to the ContinuousArithmeticAsianLevyEngine in 
the experimental/exoticoptions folder. It seems to me that this pricing engine 
only works if the averaging period has already begun. But if the averaging 
period begins in the future (meaning startDate is greater than process-
>process_->riskFreeRate()->referenceDate()) them I'm getting really 
unrealistic prices. Has someone else observed the same behaviour. In this case 
I'd suggest to throw an exception if startDate is in the future instead of 
giving back wrong results.


Merry Christmas
 Klaus