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

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

Thanks a lot for this information. We use QL python. I see OSR also has
Swig. Let me try it out.

Thanks
Ashish

On Wed, Jan 5, 2022, 10:30 PM Peter Caspers <pca...@gm...> wrote:

> 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
> >> >>>> _______________________________________________
> >> >>>> QuantLib-users mailing list
> >> >>>> Qua...@li...
> >> >>>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
> >> >
> >> > _______________________________________________
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>