startDate > referenceDate() in ContinuousArithmeticAsianLevyEngine?

Posted by Klaus Spanderen-2 on Dec 24, 2013; 8:02am
URL: http://quantlib.414.s1.nabble.com/startDate-referenceDate-in-ContinuousArithmeticAsianLevyEngine-tp14771.html

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