#include <discretizedvanillaoption.hpp>

Inheritance diagram for DiscretizedVanillaOption:

Collaboration diagram for DiscretizedVanillaOption:

Public Member Functions
	DiscretizedVanillaOption (const VanillaOption::arguments &, const StochasticProcess &process, const TimeGrid &grid=TimeGrid())

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

Protected Member Functions inherited from DiscretizedAsset
bool	isOnTime (Time t) const

virtual void	preAdjustValuesImpl ()

Private Member Functions
void	applySpecificCondition ()

Private Attributes
VanillaOption::arguments	arguments_

std::vector< Time >	stoppingTimes_

Additional Inherited Members
Protected Types inherited from DiscretizedAsset
enum class	CouponAdjustment { pre , post }

Protected Attributes inherited from DiscretizedAsset
Time	time_

Time	latestPreAdjustment_

Time	latestPostAdjustment_

Array	values_

Detailed Description

Definition at line 34 of file discretizedvanillaoption.hpp.

Constructor & Destructor Documentation

◆ DiscretizedVanillaOption()

DiscretizedVanillaOption	(	const VanillaOption::arguments &	args,
		const StochasticProcess &	process,
		const TimeGrid &	grid = `TimeGrid()`
	)

Definition at line 26 of file discretizedvanillaoption.cpp.

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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.

Definition at line 42 of file discretizedvanillaoption.cpp.

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◆ 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.