DiscretizedOption Class Reference

#include <ql/discretizedasset.hpp>

Inheritance diagram for DiscretizedOption:

Inheritance graph
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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< DiscretizedAssetunderlying_
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.