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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