Hi everyone,
I have been calculating NPV and Greeks at intermediate points along the path of an asian option; I want to throw my technique into RQuantLib -- but first I want some validation that what I am doing is kosher. :)
Right now I am using DiscreteAveragingAsianOption and AnalyticDiscreteGeometric...Engine, pre-setting the runningAccumulator to the product of the previous prices, pastFixings to the number of previous time points, fixingDates to only the **remaining** time points.
I have been getting answers that look good to me, but does 1. hacking the fixtures arguments this way and 2. only using the remaining fixing dates get an a.okay from the guys who designed this in the first place? Is there a better way to do this?
Thanks for all the time you have put into this useful software,
Eric
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