Derman-Kani-Ergener-Bardhan discretized option helper class. More...

#include <discretizeddoublebarrieroption.hpp>

Inheritance diagram for DiscretizedDermanKaniDoubleBarrierOption:

Collaboration diagram for DiscretizedDermanKaniDoubleBarrierOption:

Public Member Functions
	DiscretizedDermanKaniDoubleBarrierOption (const DoubleBarrierOption::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
DiscretizedDoubleBarrierOption	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

Derman-Kani-Ergener-Bardhan discretized option helper class.

This class is used with the BinomialDoubleBarrierEngine to implement the enhanced binomial algorithm of E.Derman, I.Kani, D.Ergener, I.Bardhan ("Enhanced Numerical Methods for Options with Barriers", 1995)

Note: This algorithm is only suitable if the payoff can be approximated linearly, e.g. is not usable for cash-or-nothing payoffs.

Definition at line 76 of file discretizeddoublebarrieroption.hpp.

Constructor & Destructor Documentation

◆ DiscretizedDermanKaniDoubleBarrierOption()

DiscretizedDermanKaniDoubleBarrierOption	(	const DoubleBarrierOption::arguments &	args,
		const StochasticProcess &	process,
		const TimeGrid &	grid = `TimeGrid()`
	)

Definition at line 156 of file discretizeddoublebarrieroption.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 163 of file discretizeddoublebarrieroption.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.