QuantLib 0.3.6 http://quantlib.org User manual Introduction to QuantLib Introduction Project overview Where to get QuantLib Installation Usage Version history Additional resources The QuantLib group Copyright and license QuantLib components Core classes Date and time calculations Lattice methods The finite differences framework The Monte Carlo framework Short-rate models Currencies and FX rates Instruments and pricers Math tools Design patterns Term structures Utilities Examples Reference manual Modules Class Hierarchy Compound List File List Compound Members File Members Todo List Known Bugs Deprecated Features

ContinuousGeometricAPO Class Reference #include <ql/Pricers/continuousgeometricapo.hpp> Inheritance diagram for ContinuousGeometricAPO: [legend]List of all members. Detailed Description Continuous geometric average-price option (European exercise). This class implements a continuous geometric average price asian option with european exercise. The formula is from "Option Pricing Formulas", E. G. Haug (1997) pag 96-97 Todo: add Average Strike version and make it backward starting Public Member Functions   ContinuousGeometricAPO (Option::Type type, double underlying, double strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, double volatility) double  vega () const double  rho () const Handle< SingleAssetOption >  clone () const

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