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QuantLib_ShoutCondition
Langue: en
Version: 382306 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::ShoutCondition -Shout option condition.
SYNOPSIS
#include <ql/methods/finitedifferences/shoutcondition.hpp>
Inherits QuantLib::CurveDependentStepCondition< Array >.
Public Member Functions
ShoutCondition (Option::Type type, Real strike, Time resTime, Rate rate)
ShoutCondition (const Array &intrinsicValues, Time resTime, Rate rate)
void applyTo (Array &a, Time t) const
Detailed Description
Shout option condition.
A shout option is an option where the holder has the right to lock in a minimum value for the payoff at one (shout) time during the option's life. The minimum value is the option's intrinsic value at the shout time.
Author
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