asian option arithmetic average

[Adjriou Belak]

Hi everybody,

 

I would like to price an amerithmetic average asian option but the average should be only on the last thirteen days. Do you know if the asian option module can make it ?

 

regards.

 

 

---

Découvrez le nouveau Yahoo! Mail : 250 Mo d'espace de stockage pour vos mails !
Créez votre Yahoo! Mail

[Luigi Ballabio]

On 01/03/05 11:25:48, Adjriou Belak wrote:
> I would like to price an amerithmetic average asian option but the  
> average
> should be only on the last thirteen days. Do you know if the asian option
> module can make it ?

Adjriou,
        the DiscreteAveragingAsianOption class (see ql/Instruments/
asianoption.hpp) allows one to specify a vector of fixing dates. Perhaps  
that is what you need?

Later,
        Luigi