Posted by
Kakhkhor Abdijalilov on
URL: http://quantlib.414.s1.nabble.com/Re-quantlib-asian-options-tp12523.html
1.0 is running accumulator value and 0 is past fixings. It means that
only the reaming fixings are for averaging.
There is something isn't perfectly right in floating strike engine
implementation.
These are the steps to reproduce "the bug".
1. Set dividend yield to zero. QL and my implementation perfectly agree.
2. Increase risk free rate and dividend yield by the same amount. This
won't affect GBM dynamics. If we compensate for the higher discount
factor then the prices shouldn't chance. Indeed, my implementation
gives the same result, but QL gives slightly higher values. The
difference is negligible (only 4th digits differ) for practical
purposes, but it indicates that something isn't right, because
floating strike analytical engine uses exact formula, not
approximation
When dividend yield is zero my implementation perfectly agrees with QL.
Fixed strike prices agree in both cases (the difference only in 14th digit).
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