DiscretizedOption Class Reference

Discretized option on a given asset. More...

#include <ql/discretizedasset.hpp>

Inheritance diagram for DiscretizedOption:

Public Member Functions
	DiscretizedOption (ext::shared_ptr< DiscretizedAsset > underlying, Exercise::Type exerciseType, std::vector< Time > exerciseTimes)
void	reset (Size size) override
std::vector< Time >	mandatoryTimes () const override
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
void	applyExerciseCondition ()
bool	isOnTime (Time t) const
virtual void	preAdjustValuesImpl ()

Protected Attributes
ext::shared_ptr< DiscretizedAsset >	underlying_
Exercise::Type	exerciseType_
std::vector< Time >	exerciseTimes_
Time	time_
Time	latestPreAdjustment_
Time	latestPostAdjustment_
Array	values_

Additional Inherited Members
enum class	CouponAdjustment { pre , post }

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

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.