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

[Jack G <jac...@gm...>]

Ashish,

I haven't verified your numbers but your code seems to run and generate a
price without errors for me (see screenshot below).

If you have a specific way of generating the error, could you provide a
minimal code reproduction of it and I'll have another look.

Best,
Jack

[image: image.png]

On Wed, May 18, 2022 at 9:25 PM Ashish Bansal <ash...@gm...>
wrote:

> 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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>>>
>>