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

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

Hi Klaus,
    yes, I agree. But don't write the patch right away. Enjoy your
holidays instead :)

Merry Christmas,
    Luigi

On Tue, Dec 24, 2013 at 9:02 AM, Klaus Spanderen <kl...@sp...> wrote:
> 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
>
>
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