Creates a Discrete Averaging Asian Option object.

This function can employ different pricing engines (Analytical and MonteCarlo).

Once the object has been constructed, the value of the option can be obtained by executing the PrcObjDiscreteAsianOption() function.

This function requires the input of a BlackScholes Process object key, which must have been produced via a call to one of the following functions : GBSProcess(), GBSProcess2(), BS73Process(), BS73Process2(), BlackProcess(), BlackProcess2(), GKProcess() or GKProcess2(). These functions would have returned a string 'KEY' which is to be passed to the 'stochProcess' parameter of this function.

This function requires the input of a payoff object key, which must have been produced via a call to one of the following functions : PlainVanilla(), PercentageStrike(), CashOrNothing(), AssetOrNothingPayoff() or Gap(). These functions would have returned a string 'KEY' which is to be passed to the 'payoff' parameter of this function.

This function requires the input of a exercise object key, which must have been produced via a call to one of the following functions : AmericanExercise(), EuropeanExercise(), BermudanExercise(), ExerciseFromLeg(), ExerciseFromSche(), ExerciseFromSW(), ExerciseFromFIXBND() or ExerciseFromFLTBND(). These functions would have returned a string 'KEY' which is to be passed to the 'exercise' parameter of this function.

This function requires the input of an engine object key, which must have been produced via a call to one of the Basket Engine creation functions present within the CapeTools Asian Engine category of functions (with the exception of the ContinuousAsianEngine() function).

These functions would have returned a string 'KEY' which is to be passed to the 'engine' parameter of this function.

This function creates an object and returns a string-key value to represent this created object.
The TAG value of the string-key returned (second part of the key) is : "DASIANOPT"

String CTEngineOptions.DiscreteAsianOption( _
String Key, _
Long Reload, _
String OptionType, _
Double runningAccum, _
Long pastFixings, _
Variant FixingDates, _
String stochProcess, _
String payoff, _
String exercise, _
String engine)

=CT.OPT.DiscreteAsianOption(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel String Cell OptionType,
Excel Numeric Cell runningAccum,
Excel Numeric Cell pastFixings,
XLRange FixingDates,
Excel String Cell stochProcess,
Excel String Cell payoff,
Excel String Cell exercise,
Excel String Cell engine)

static std::string DiscreteAsianOption(
std::string Key,
long Reload,
std::string OptionType,
double runningAccum,
long pastFixings,
CTRangeDataCPP FixingDates,
std::string stochProcess,
std::string payoff,
std::string exercise,
std::string engine);

System.String CTEngineOptionsSA.DiscreteAsianOption(
System.String Key,
System.Int32 Reload,
System.String OptionType,
System.Double runningAccum,
System.Int32 pastFixings,
CTRangeData FixingDates,
System.String stochProcess,
System.String payoff,
System.String exercise,
System.String engine);

CTQL.CTRangeData DiscreteAsianOption_FixingDates;


int[] arrBDiscreteAsianOption_FixingDates = {
CTQL.Date.serialNumber("26/7/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("2/8/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("9/8/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("16/8/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("23/8/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("30/8/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("6/9/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("13/9/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("20/9/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("27/9/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("4/10/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("11/10/2005", "dd/mm/yyyy")  //  Array Data

};

CTQL.IntVector arrDiscreteAsianOption_FixingDates =
new  CTQL.IntVector(arrBDiscreteAsianOption_FixingDates);

// Second parameter determines whether the array is a column array (false) or a row array (true)
DiscreteAsianOption_FixingDates = new  CTQL.CTRangeData(arrDiscreteAsianOption_FixingDates, false);

The C# example below contains all the sub-function calls leading up to this function call. As a result, the example can contain a lot of code.

The VB.NET, J#, C++.NET, Java, Excel VBA, Visual Basic 6 (via COM) and C++ examples below contain function code stubs for the calls leading up to this function call. However, the function call for this function is displayed.
You can easily reproduce the stub functions code from the C# example.