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
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.