Asion option

[gilles herzog]

Good afternoon,
I want to program a DiscreteAveragingAsianOption, but what is the Real
accumulator please ?
Thank you

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[Luigi Ballabio]

On 2/17/06, gilles herzog <[hidden email]> wrote:
> I want to program a DiscreteAveragingAsianOption, but what is the Real
> accumulator please ?

It is the sum of the past fixings of the underlying, in case the Asian
option had fixing dates in the past. It is 0 for options with no past
fixings.

Luigi