Re: [Quantlib-users] Asian Option

[Luigi B. <lui...@gm...>]

Also, the two locations Jonathan pointed out deal with the average of any
past fixings.  The calculation of the total average (including those) is in
the FdmArithmeticAverageCondition class instantiated at <
https://github.com/lballabio/QuantLib/blob/master/ql/pricingengines/asian/fdblackscholesasianengine.cpp#L103
>

Luigi


On Mon, Feb 13, 2023 at 11:55 AM Jonathan Sweemer <sw...@gm...> wrote:

> 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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