Re: [Quantlib-users] exotic non linear payoff

[Mohammad Shoja-t. <msh...@gm...>]

erm... Looking into this a bit more closely, I actually think a
PlainVanillaPayoff can be used, but I need a new pricer. My pricer should
be very similar to ArithmeticAPOPathPricer but should calculate S*(1-C/Avg)
and pass that to the payoff, strike is zero in this case.

On Sat, Feb 26, 2022 at 5:11 AM Jonathan Sweemer <sw...@gm...> wrote:

> 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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>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
>

-- 
Mohammad Shojatalab