Problem with Running Average of qlDaAsianOption

[Huber, Rainer (IDS GmbH)]



Dear all,

 

as my first steps using XL-Quantlib I try to value Asian Options.

There I want to include the current running average from past fixing dates.

See EXCEL-File enclosed.

 

My problem now is that:

- For Average-Type 'Geometric' (Colums D:E) the NPV (E32) drops to zero for any number

   of past fixings > 1 independently of the Value of the RunningAccumulator (= current Average??)

   In the example a current average of 100 should be high enough for a call at 40.

 

- For Average-Tyoe 'Arithmetic' (Columns G:H) PastFixings and RunningAccumulator have no impact on the

  NPV (H32) at all.

 

I'd need to value an Arithmetic Asian Option anyway. So the first Version is only an excercise to get to grips

with Quantlib.

 

What am I doing wrong here? Do I need to use a MonteCarlo engine for Arithmetic Asian Options anyway?

 

Many thanks in advance

 

Rainer

 

 

Rainer Huber, CFA

Financial Engineering

 

InvestmentDataServices
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[Luigi Ballabio]

On Wed, 2010-06-02 at 22:38 +0200, Huber, Rainer (IDS GmbH) wrote:
> 
> as my first steps using XL-Quantlib I try to value Asian Options.
> There I want to include the current running average from past fixing
> dates.
> [...]
>  
> What am I doing wrong here? Do I need to use a MonteCarlo engine for
> Arithmetic Asian Options anyway?

Rainer,
        apologies for the delay.  In version 0.9.7, not all engines took the
running accumulator into account properly.  Also, for those who do, the
definition of the running accumulator is tricky: for instance, for
arithmetic Asians, it's not the average of the past fixings, but the sum
(i.e., not divided by N.) For geometric, it's the product.

Luigi


--

The First Rule of Optimization: Don't do it.
The Second Rule of Optimization (For experts only): Don't do it yet.
-- Michael Jackson



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