exerciseType_ (3) - Linux Manuals

exerciseType_: Discretized option on a given asset.


QuantLib::DiscretizedOption - Discretized option on a given asset.


#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.


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.


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.


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