[Quantlib-users] Help about the asian options

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

Hi all,

Could somebody help with the asian options? We are using
FdBlackScholesAsianengine with DiscreteAveragingAsianOption. Online
references are given below. In DiscreteAveragingAsianOption, we need to
pass the past fixing which is suggested to be 0 for new trade. Whereas when
we are passing it as 0, we are getting the following error:
"QuantLib Error - Running average requires at least one past fixing"
ref:
https://quantlib-python-docs.readthedocs.io/en/latest/pricing_engines.html#fdblackscholesasianengine

https://quantlib-python-docs.readthedocs.io/en/latest/instruments/options.html?highlight=DiscreteAveragingAsianOption#ql.DiscreteAveragingAsianOption

Queries:
1. What is to be passed here for new trade if not 0?
2. For trade which is mid of averaging and has few past fixings, do we need
to pass the count of past fixing or the actual rates of the pastfixing as
an array?

Any help will be appreciated.

Thanks in advance
Ashish