Posted by
Luigi Ballabio on
Dec 24, 2013; 10:48am
URL: http://quantlib.414.s1.nabble.com/startDate-referenceDate-in-ContinuousArithmeticAsianLevyEngine-tp14771p14772.html
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
>
>
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