Re: [Quantlib-users] exotic non linear payoff

[Jonathan S. <sw...@gm...>]

Hi Mohammad,

There's a test suite for pricing various kinds of averaging (Asian) options
under different engines that you can use as a reference.

https://github.com/lballabio/QuantLib/blob/master/test-suite/asianoptions.cpp

Not sure whether the available payoff types can fully capture the
expression that you require. If not, then you may have to extend one of the
payoff types and pass it into the instrument constructor instead of what
you see in the test suite.

Jonathan


On Sat, Feb 26, 2022 at 1:09 AM Mohammad Shoja-talab <msh...@gm...>
wrote:

> Hi All,
>
> I'd like to price a payoff which looks like this: max( S - C * S/Avg(S), 0)
> Where S is the spot price, Avg(S) is average of spot price in specified
> (future) fixing dates and C is a constant. How best can I do that using
> quantlib?
>
> Thanks
>
> --
> Mo Shoja
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