DiscretizedOption Class Reference#include <ql/discretizedasset.hpp>
Inheritance diagram for DiscretizedOption:
[legend]List of all members.
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
void reset |
( |
Size |
size |
) |
[virtual] |
|
|
This method should initialize the asset values to an Array of the given size and with values depending on the particular asset.
Implements DiscretizedAsset. |
std::vector< Time > mandatoryTimes |
( |
|
) |
const [virtual] |
|
|
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.
- Note:
- The returned values are not guaranteed to be sorted.
Implements DiscretizedAsset. |
void postAdjustValuesImpl |
( |
|
) |
[protected, virtual] |
|
|
This method performs the actual post-adjustment
Reimplemented from DiscretizedAsset. |
|