

/*
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl

 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 ferdinando@ametrano.net
 The license is also available online at http://quantlib.org/html/license.html

 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.
*/
/*! \file discretegeometricaso.hpp
    \brief Discrete Geometric Average Strike Option

    \fullpath
    ql/Pricers/%discretegeometricaso.hpp
*/

// $Id: discretegeometricaso.hpp,v 1.5.26.1 2002/12/31 18:40:40 nando Exp $

#ifndef quantlib_discrete_geometric_average_strike_option_h
#define quantlib_discrete_geometric_average_strike_option_h

#include <ql/Pricers/singleassetoption.hpp>
#include <ql/Math/normaldistribution.hpp>
#include <vector>


namespace QuantLib {

    namespace Pricers {

        //! Discrete Geometric Average Strike Asian Option (European style)
        /*! This class implements a discrete geometric average strike asian
            option, with european exercise.
            The formula is from "Asian Option", E. Levy (1997)
            in "Exotic Options: The State of the Art",
            edited by L. Clewlow, C. Strickland, pag65-97

            \todo add analytical greeks
        */
        class DiscreteGeometricASO : public SingleAssetOption    {
           public:
            DiscreteGeometricASO(Option::Type type,
                                 double underlying,
                                 Spread dividendYield,
                                 Rate riskFreeRate,
                                 const std::vector<Time>& times,
                                 double volatility);
            double value() const;
            double delta() const {return 0.0;}
            double gamma() const {return 0.0;}
            double theta() const {return 0.0;}
            Handle<SingleAssetOption> clone() const;
           private:
            static const Math::CumulativeNormalDistribution f_;
            std::vector<Time> times_;
        };


        // inline definitions
        inline Handle<SingleAssetOption> DiscreteGeometricASO::clone()
          const {
            return Handle<SingleAssetOption>(
                new DiscreteGeometricASO(*this));
        }

    }

}


#endif
