Re: [Quantlib-users] Model for pricing Asian options

[Ashish B. <ash...@gm...>]

Thanks Luigi and Peter.

Peter,
We are using QL through python. I hope the above engine is supported
through the OREdata-SWIG. Let me try it out.

Does this engine provide the Implied Vol for APO trades when passing the
exchange price? The Asian engine in QL doesn't.

Thanks
Ashish

On Mon, 3 Jan 2022 at 20:30, Peter Caspers <pca...@gm...> wrote:

> Hey Ashish,
>
> in addition to what Luigi said, this might be of interest to you:
>
>
> https://github.com/OpenSourceRisk/Engine/blob/master/QuantExt/qle/pricingengines/commodityapoengine.hpp
>
> Thanks
> Peter
>
> On Mon, 3 Jan 2022 at 15:17, Luigi Ballabio <lui...@gm...>
> wrote:
> >
> > Not that I know of.
> >
> > On Wed, Dec 29, 2021 at 2:08 PM Ashish Bansal <ash...@gm...>
> wrote:
> >>
> >> Do you know if Asian option engines have moment matching inbuilt?
> >>
> >> On Tue, 28 Dec 2021 at 21:03, Luigi Ballabio <lui...@gm...>
> wrote:
> >>>
> >>> Hello Ashish, no, it's not.
> >>>
> >>> Luigi
> >>>
> >>>
> >>> On Thu, Dec 2, 2021 at 11:35 AM Ashish Bansal <ash...@gm...>
> wrote:
> >>>>
> >>>> Hi,
> >>>>
> >>>> Is the turnbull-wakeman model supported in QL for pricing the asian
> options? I wish to price the commodity asian options.
> >>>>
> >>>> Regards,
> >>>> Ashish
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