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QuantLib_DiscretizedOption
Langue: en
Version: 374350 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
- NAME
- SYNOPSIS
- Detailed Description
- 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.
- 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.
- void postAdjustValuesImpl () [protected, virtual]This method performs the actual post-adjustment
- Author
NAME
QuantLib::DiscretizedOption -Discretized option on a given asset.
SYNOPSIS
#include <ql/discretizedasset.hpp>
Inherits QuantLib::DiscretizedAsset.
Inherited by DiscretizedSwaption.
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_
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.
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.
Author
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