QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Protected Member Functions | Private Member Functions | Private Attributes | List of all members
DiscretizedDermanKaniBarrierOption Class Reference

#include <discretizedbarrieroption.hpp>

+ Inheritance diagram for DiscretizedDermanKaniBarrierOption:
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Public Member Functions

 DiscretizedDermanKaniBarrierOption (const BarrierOption::arguments &, const StochasticProcess &process, const TimeGrid &grid=TimeGrid())
 
void reset (Size size) override
 
std::vector< TimemandatoryTimes () const override
 
- Public Member Functions inherited from DiscretizedAsset
 DiscretizedAsset ()
 
virtual ~DiscretizedAsset ()=default
 
Time time () const
 
Timetime ()
 
const Arrayvalues () const
 
Arrayvalues ()
 
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 adjustBarrier (Array &optvalues, const Array &grid)
 

Private Attributes

DiscretizedBarrierOption unenhanced_
 

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 62 of file discretizedbarrieroption.hpp.

Constructor & Destructor Documentation

◆ DiscretizedDermanKaniBarrierOption()

DiscretizedDermanKaniBarrierOption ( const BarrierOption::arguments args,
const StochasticProcess process,
const TimeGrid grid = TimeGrid() 
)

Definition at line 135 of file discretizedbarrieroption.cpp.

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 142 of file discretizedbarrieroption.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.

Note
The returned values are not guaranteed to be sorted.

Implements DiscretizedAsset.

Definition at line 70 of file discretizedbarrieroption.hpp.

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◆ postAdjustValuesImpl()

void postAdjustValuesImpl ( )
overrideprotectedvirtual

This method performs the actual post-adjustment

Reimplemented from DiscretizedAsset.

Definition at line 148 of file discretizedbarrieroption.cpp.

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◆ adjustBarrier()

void adjustBarrier ( Array optvalues,
const Array grid 
)
private

Definition at line 156 of file discretizedbarrieroption.cpp.

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Member Data Documentation

◆ unenhanced_

DiscretizedBarrierOption unenhanced_
private

Definition at line 77 of file discretizedbarrieroption.hpp.