Re: [Quantlib-users] Help about the asian options

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

Hi Jack,

Please find attached the Asian option python code and the option trade
payload.

Thanks for your help,
Regards,
Ashish

On Wed, 18 May 2022 at 12:12, Jack G <jac...@gm...> wrote:

> Hi Ashish,
>
> I've just lifted the examples from your references directly for a discrete
> arithmetic Asian using the FD Asian engine and it is working for me - can
> you share the code you are using that breaks please?
>
> Best,
> Jack
>
> On Wed, 18 May 2022, 13:55 Ashish Bansal, <ash...@gm...> wrote:
>
>> 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
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>