rollback (3) - Linux Man Pages
rollback: Discretized asset class used by numerical methods.
QuantLib::DiscretizedAsset - Discretized asset class used by numerical methods.
Inherited by DiscretizedCallableFixedRateBond, DiscretizedCapFloor, DiscretizedConvertible, DiscretizedDiscountBond, DiscretizedOption, DiscretizedSwap, and DiscretizedVanillaOption.
Public Member Functions
Time time () const
Time & time ()
const Array & values () const
Array & values ()
const boost::shared_ptr< Lattice > & method () const
Users of discretized assets should use these methods in order to initialize, evolve and take the present value of the assets. They call the corresponding methods in the Lattice interface, to which we refer for documentation.
void initialize (const boost::shared_ptr< Lattice > &, Time t)
void rollback (Time to)
void partialRollback (Time to)
Real presentValue ()
These methods (that developers should override when deriving from DiscretizedAsset) are to be used by numerical methods and not directly by users, with the exception of adjustValues(), preAdjustValues() and postAdjustValues() that can be used together with partialRollback().
Protected Member Functions
Member Function Documentation
virtual void reset (Size size) [pure virtual]
This method should initialize the asset values to an Array of the given size and with values depending on the particular asset.
void preAdjustValues ()
This method will be invoked after rollback and before any other asset (i.e., an option on this one) has any chance to look at the values. For instance, payments happening at times already spanned by the rollback will be added here.
void postAdjustValues ()
This method will be invoked after rollback and after any other asset had their chance to look at the values. For instance, payments happening at the present time (and therefore not included in an option to be exercised at this time) will be added here.
void adjustValues ()
virtual std::vector<Time> mandatoryTimes () const [pure 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.
bool isOnTime (Time t) const [protected]
virtual void preAdjustValuesImpl () [protected, virtual]
virtual void postAdjustValuesImpl () [protected, virtual]
This method performs the actual post-adjustment
Reimplemented in DiscretizedOption.
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