[Quantlib-users] How to calculate currentAverage for Levy and Vecer engine?

[Xu R. <xur...@ho...>]

Hi, everyone

How to calculate currentAverage for ContinuousArithmeticAsianLevyEngine and ContinuousArithmeticAsianVecerEngine?

If my Asian option started yesterday, and close price was 100. I evaluate it today, and spot price is 110 now.

So, currentAverage = 100, or currentAverage = (100 + 110)/2.

Shall I use the spot price at evaluation date?

Thanks,
Ruilong


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