QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <discretizedbarrieroption.hpp>
Public Member Functions | |
DiscretizedDermanKaniBarrierOption (const BarrierOption::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 | 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_ |
Definition at line 62 of file discretizedbarrieroption.hpp.
DiscretizedDermanKaniBarrierOption | ( | const BarrierOption::arguments & | args, |
const StochasticProcess & | process, | ||
const TimeGrid & | grid = TimeGrid() |
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Definition at line 135 of file discretizedbarrieroption.cpp.
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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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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.
Implements DiscretizedAsset.
Definition at line 70 of file discretizedbarrieroption.hpp.
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overrideprotectedvirtual |
This method performs the actual post-adjustment
Reimplemented from DiscretizedAsset.
Definition at line 148 of file discretizedbarrieroption.cpp.
Definition at line 156 of file discretizedbarrieroption.cpp.
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private |
Definition at line 77 of file discretizedbarrieroption.hpp.