startDate > referenceDate() in ContinuousArithmeticAsianLevyEngine?

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startDate > referenceDate() in ContinuousArithmeticAsianLevyEngine?

Klaus Spanderen-2

Hi all,

 

I have a question with respect to the ContinuousArithmeticAsianLevyEngine in the experimental/exoticoptions folder. It seems to me that this pricing engine only works if the averaging period has already begun. But if the averaging period begins in the future (meaning startDate is greater than process->process_->riskFreeRate()->referenceDate()) them I'm getting really unrealistic prices. Has someone else observed the same behaviour. In this case I'd suggest to throw an exception if startDate is in the future instead of giving back wrong results.

 

 

Merry Christmas

Klaus


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Re: startDate > referenceDate() in ContinuousArithmeticAsianLevyEngine?

Luigi Ballabio
Hi Klaus,
    yes, I agree. But don't write the patch right away. Enjoy your
holidays instead :)

Merry Christmas,
    Luigi

On Tue, Dec 24, 2013 at 9:02 AM, Klaus Spanderen <[hidden email]> wrote:

> Hi all,
>
>
>
> I have a question with respect to the ContinuousArithmeticAsianLevyEngine in
> the experimental/exoticoptions folder. It seems to me that this pricing
> engine only works if the averaging period has already begun. But if the
> averaging period begins in the future (meaning startDate is greater than
> process->process_->riskFreeRate()->referenceDate()) them I'm getting really
> unrealistic prices. Has someone else observed the same behaviour. In this
> case I'd suggest to throw an exception if startDate is in the future instead
> of giving back wrong results.
>
>
>
>
>
> Merry Christmas
>
> Klaus
>
>
> ------------------------------------------------------------------------------
> Rapidly troubleshoot problems before they affect your business. Most IT
> organizations don't have a clear picture of how application performance
> affects their revenue. With AppDynamics, you get 100% visibility into your
> Java,.NET, & PHP application. Start your 15-day FREE TRIAL of AppDynamics
> Pro!
> http://pubads.g.doubleclick.net/gampad/clk?id=84349831&iu=/4140/ostg.clktrk
> _______________________________________________
> QuantLib-dev mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>



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