DiscretizedOption Class Reference

Discretized option on a given asset. More...

#include <discretizedasset.hpp>

Inheritance diagram for DiscretizedOption:

Collaboration 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
	DiscretizedAsset ()
virtual	~DiscretizedAsset ()=default
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 ()
Protected Member Functions inherited from DiscretizedAsset
bool	isOnTime (Time t) const
virtual void	preAdjustValuesImpl ()

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

Additional Inherited Members
Protected Types inherited from DiscretizedAsset
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.

Definition at line 160 of file discretizedasset.hpp.

Constructor & Destructor Documentation

DiscretizedOption()

DiscretizedOption	(	ext::shared_ptr< DiscretizedAsset >	underlying,
		Exercise::Type	exerciseType,
		std::vector< Time >	exerciseTimes
	)

Definition at line 162 of file discretizedasset.hpp.

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.

Reimplemented in DiscretizedSwaption.

Definition at line 221 of file discretizedasset.hpp.

Here is the call graph for this function:

Here is the caller graph for this function:

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.

Definition at line 229 of file discretizedasset.hpp.

Here is the caller graph for this function:

postAdjustValuesImpl()

void postAdjustValuesImpl ( )

overrideprotectedvirtual

This method performs the actual post-adjustment

Reimplemented from DiscretizedAsset.

Definition at line 25 of file discretizedasset.cpp.

Here is the call graph for this function:

applyExerciseCondition()

void applyExerciseCondition ( )

protected

Definition at line 239 of file discretizedasset.hpp.

Here is the call graph for this function:

Here is the caller graph for this function:

Member Data Documentation

underlying_

ext::shared_ptr<DiscretizedAsset> underlying_

protected

Definition at line 173 of file discretizedasset.hpp.

exerciseType_

Exercise::Type exerciseType_

protected

Definition at line 174 of file discretizedasset.hpp.

exerciseTimes_

std::vector<Time> exerciseTimes_

protected

Definition at line 175 of file discretizedasset.hpp.