DiscretizedDoubleBarrierOption Class Reference

Standard discretized option helper class. More...

#include <ql/experimental/barrieroption/discretizeddoublebarrieroption.hpp>

Inheritance diagram for DiscretizedDoubleBarrierOption:

Public Member Functions
	DiscretizedDoubleBarrierOption (const DoubleBarrierOption::arguments &, const StochasticProcess &process, const TimeGrid &grid=TimeGrid())
void	reset (Size size) override
const Array &	vanilla () const
const DoubleBarrierOption::arguments &	arguments () const
std::vector< Time >	mandatoryTimes () const override
void	checkBarrier (Array &optvalues, const Array &grid) const
Public Member Functions inherited from DiscretizedAsset
Time	time () const
Time &	time ()
const Array &	values () const
Array &	values ()
const ext::shared_ptr< Lattice > &	method () const
void	initialize (const ext::shared_ptr< Lattice > &, Time t)
void	rollback (Time to)
void	partialRollback (Time to)
Real	presentValue ()
void	preAdjustValues ()
void	postAdjustValues ()
void	adjustValues ()

Protected Member Functions
void	postAdjustValuesImpl () override
bool	isOnTime (Time t) const
virtual void	preAdjustValuesImpl ()

Additional Inherited Members
enum class	CouponAdjustment { pre , post }
Time	time_
Time	latestPreAdjustment_
Time	latestPostAdjustment_
Array	values_

Detailed Description

Standard discretized option helper class.

This class is used with the BinomialDoubleBarrierEngine to implement a standard binomial algorithm for double barrier options

Member Function Documentation

reset()

void reset ( Size size )

overridevirtual

This method should initialize the asset values to an Array of the given size and with values depending on the particular asset.

Implements DiscretizedAsset.

mandatoryTimes()

std::vector< Time > mandatoryTimes ( ) const

overridevirtual

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.

postAdjustValuesImpl()

void postAdjustValuesImpl ( )

overrideprotectedvirtual

This method performs the actual post-adjustment

Reimplemented from DiscretizedAsset.