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

[Peter C. <pca...@gm...>]

Yes you can set up a commodity volatility surface that accepts call /
put prices as an input and implies volatilities from them. You can
then use that volatility surface to price an APO. Notice that it's not
the engine that converts a call / put price to a volatility, this is
done separately in the vol term structure instance that is passed to
the engine.
Best, Peter


On Tue, 4 Jan 2022 at 19:26, Ashish Bansal <ash...@gm...> wrote:
>
> 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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