asianoption.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2005, 2006 Eric Ehlers
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#ifndef qla_asianoption_hpp
#define qla_asianoption_hpp
 
#include <qlo/baseinstruments.hpp>
 
#include <ql/instruments/averagetype.hpp>
#include <ql/types.hpp>
 
namespace QuantLib {
    class StrikedTypePayoff;
    class Exercise;
    class Date;
}   
 
namespace QuantLibAddin {
 
    class ContinuousAveragingAsianOption : public OneAssetOption {
      public:
        ContinuousAveragingAsianOption(
            const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
            QuantLib::Average::Type averageType,
            const boost::shared_ptr<QuantLib::StrikedTypePayoff>& payoff,
            const boost::shared_ptr<QuantLib::Exercise>& exercise,
            bool permanent);
    };
 
    class DiscreteAveragingAsianOption : public OneAssetOption {
      public:
        DiscreteAveragingAsianOption(
            const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
            QuantLib::Average::Type averageType,
            QuantLib::Real runningAccumulator,
            QuantLib::Size pastFixings,
            const std::vector<QuantLib::Date>& fixingDates,
            const boost::shared_ptr<QuantLib::StrikedTypePayoff>& payoff,
            const boost::shared_ptr<QuantLib::Exercise>& exercise,
            bool permanent);
    };
 
}
 
#endif