Fix for lookback options

cetusfinance · Jul 8, 2024 · 15ce3cf · 15ce3cf
1 parent c38923b
commit 15ce3cf
Show file tree

Hide file tree

Showing 4 changed files with 5 additions and 3 deletions.
diff --git a/src/Qwack.Core/Basic/RiskMetric.cs b/src/Qwack.Core/Basic/RiskMetric.cs
@@ -17,5 +17,6 @@ public enum RiskMetric
         PnLAttribution,
         OptimalExercise,
         AssetParallelDelta,
+        HistSimVaR
     }
 }
diff --git a/src/Qwack.Core/Instruments/Asset/AsianLookbackOption.cs b/src/Qwack.Core/Instruments/Asset/AsianLookbackOption.cs
@@ -101,8 +101,9 @@ public Dictionary<string, List<DateTime>> PastFixingDates(DateTime valDate) => v
 
         public IAssetInstrument SetStrike(double strike) => throw new InvalidOperationException();
 
-        public TO_Instrument ToTransportObject() =>
+        public TO_Instrument ToTransportObject() =>           
                   new(){
+                      AssetInstrumentType = AssetInstrumentType.AsianLookbackOption,
                       AsianLookbackOption = new()
                       {
                           TradeId = TradeId,

diff --git a/version.props b/version.props
@@ -1,5 +1,5 @@
 <Project>
     <PropertyGroup>
-        <VersionPrefix>0.8.52</VersionPrefix>
+        <VersionPrefix>0.8.53</VersionPrefix>
 	</PropertyGroup>
 </Project>
diff --git a/version.txt b/version.txt
@@ -1 +1 @@
-0.8.52
+0.8.53