Merge pull request #40 from jackgillett101/turnbullwakeman

Documenting TurnbullWakeman which is new in 1.27
nhaga · Aug 6, 2022 · 736d3fe · 736d3fe
2 parents eccce60 + 96fcaa8
commit 736d3fe
Showing 1 changed file with 17 additions and 0 deletions.
diff --git a/docs/pricing_engines/options.rst b/docs/pricing_engines/options.rst
@@ -400,6 +400,23 @@ MCDiscreteArithmeticAPHestonEngine
     engine = ql.MCDiscreteArithmeticAPHestonEngine(hestonProcess, rng, requiredSamples=numPaths)
 
 
+TurnbullWakemanAsianEngine
+--------------------------
+
+.. function:: ql.TurnbullWakemanAsianEngine(GeneralizedBlackScholesProcess)
+
+.. code-block:: python
+
+    today = ql.Date().todaysDate()
+    riskFreeTS = ql.YieldTermStructureHandle(ql.FlatForward(today, 0.05, ql.Actual365Fixed()))
+    dividendTS = ql.YieldTermStructureHandle(ql.FlatForward(today, 0.01, ql.Actual365Fixed()))
+    volatility = ql.BlackVolTermStructureHandle(ql.BlackConstantVol(today, ql.NullCalendar(), 0.1, ql.Actual365Fixed()))
+    initialValue = ql.QuoteHandle(ql.SimpleQuote(100))
+    process = ql.BlackScholesMertonProcess(initialValue, dividendTS, riskFreeTS, volatility)
+
+    engine = ql.TurnbullWakemanAsianEngine(process)
+
+
 Barrier Options
 ***************