applyExerciseCondition (3) - Linux Man Pages
applyExerciseCondition: Discretized option on a given asset.
QuantLib::DiscretizedOption - Discretized option on a given asset.
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
Discretized option on a given asset.
- 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.
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.
- The returned values are not guaranteed to be sorted.
void postAdjustValuesImpl () [protected, virtual]
This method performs the actual post-adjustment
Reimplemented from DiscretizedAsset.
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