DiscretizedOption Class Reference
#include <ql/discretizedasset.hpp>
Inheritance diagram for DiscretizedOption:

Detailed Description
Discretized option on a given asset.
- Warning:
- it is advised that derived classes take care of creating and initializing themselves an instance of the underlying.
Public Member Functions | |
DiscretizedOption (const boost::shared_ptr< DiscretizedAsset > &underlying, Exercise::Type exerciseType, const std::vector< Time > &exerciseTimes) | |
void | reset (Size size) |
std::vector< Time > | mandatoryTimes () const |
Protected Member Functions | |
void | postAdjustValuesImpl () |
void | applyExerciseCondition () |
Protected Attributes | |
boost::shared_ptr< DiscretizedAsset > | underlying_ |
Exercise::Type | exerciseType_ |
std::vector< Time > | exerciseTimes_ |
Member Function Documentation
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This method should initialize the asset values to an Array of the given size and with values depending on the particular asset. Implements DiscretizedAsset. |
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This method returns the times at which the numerical method should stop while rolling back the asset. Typical examples include payment times, exercise times and such.
Implements DiscretizedAsset. |
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This method performs the actual post-adjustment Reimplemented from DiscretizedAsset. |