Re: [Quantlib-users] Asian Option

[Jonathan S. <sw...@gm...>]

Hi Lucky Man,

The following two code locations should point you in the right direction:

https://github.com/lballabio/QuantLib/blob/master/ql/instruments/asianoption.cpp#L90-L98
https://github.com/lballabio/QuantLib/blob/master/ql/pricingengines/asian/fdblackscholesasianengine.cpp#L67-L68

If you think your weighted average type would be useful to others, you can
submit a pull request. Currently only arithmetic and geometric average
types are implemented for that instrument.


On Sat, Feb 11, 2023 at 9:18 PM Lucky Man <vol...@gm...> wrote:

> What is exact place where we implement arithmetical mean while calculating
> asianOption.NPV() using FdBlackScholesAsianEngine and
> DiscreteAveragingAsianOption. Because my idea is to compute asian option,
> but using a weighted arithmetic mean. Thanks in advance
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