DiscretizedAsset Class Reference

Discretized asset class used by numerical methods. More...

#include <discretizedasset.hpp>

Inheritance diagram for DiscretizedAsset:

Collaboration diagram for DiscretizedAsset:

Public Member Functions
	DiscretizedAsset ()
virtual	~DiscretizedAsset ()=default
inspectors
Time	time () const
Time &	time ()
const Array &	values () const
Array &	values ()
const ext::shared_ptr< Lattice > &	method () const
High-level interface
Users of discretized assets should use these methods in order to initialize, evolve and take the present value of the assets. They call the corresponding methods in the Lattice interface, to which we refer for documentation.
void	initialize (const ext::shared_ptr< Lattice > &, Time t)
void	rollback (Time to)
void	partialRollback (Time to)
Real	presentValue ()

Low-level interface
These methods (that developers should override when deriving from DiscretizedAsset) are to be used by numerical methods and not directly by users, with the exception of adjustValues(), preAdjustValues() and postAdjustValues() that can be used together with partialRollback().
enum class	CouponAdjustment { pre , post }
Time	time_
Time	latestPreAdjustment_
Time	latestPostAdjustment_
Array	values_
ext::shared_ptr< Lattice >	method_
virtual void	reset (Size size)=0
void	preAdjustValues ()
void	postAdjustValues ()
void	adjustValues ()
virtual std::vector< Time >	mandatoryTimes () const =0
bool	isOnTime (Time t) const
virtual void	preAdjustValuesImpl ()
virtual void	postAdjustValuesImpl ()

Detailed Description

Discretized asset class used by numerical methods.

Definition at line 36 of file discretizedasset.hpp.

Member Enumeration Documentation

CouponAdjustment

enum class CouponAdjustment

strongprotected

Indicates if a coupon should be adjusted in preAdjustValues() or postAdjustValues().

Enumerator
pre
post

Definition at line 128 of file discretizedasset.hpp.

Constructor & Destructor Documentation

DiscretizedAsset()

DiscretizedAsset

(

)

Definition at line 38 of file discretizedasset.hpp.

~DiscretizedAsset()

virtual ~DiscretizedAsset ( )

virtualdefault

Member Function Documentation

time() [1/2]

Time time

(

)

const

Definition at line 45 of file discretizedasset.hpp.

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time() [2/2]

Time & time

(

)

Definition at line 46 of file discretizedasset.hpp.

values() [1/2]

const Array & values

(

)

const

Definition at line 48 of file discretizedasset.hpp.

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values() [2/2]

Array & values

(

)

Definition at line 49 of file discretizedasset.hpp.

method()

const ext::shared_ptr< Lattice > & method

(

)

const

Definition at line 51 of file discretizedasset.hpp.

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initialize()

void initialize	(	const ext::shared_ptr< Lattice > &	method,
		Time	t
	)

Definition at line 182 of file discretizedasset.hpp.

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rollback()

void rollback

(

Time

to

)

Definition at line 189 of file discretizedasset.hpp.

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partialRollback()

void partialRollback

(

Time

to

)

Definition at line 193 of file discretizedasset.hpp.

presentValue()

Real presentValue

(

)

Definition at line 197 of file discretizedasset.hpp.

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reset()

virtual void reset ( Size  size )

pure virtual

This method should initialize the asset values to an Array of the given size and with values depending on the particular asset.

Implemented in DiscretizedDiscountBond, DiscretizedOption, DiscretizedDoubleBarrierOption, DiscretizedDermanKaniDoubleBarrierOption, DiscretizedCallableFixedRateBond, DiscretizedBarrierOption, DiscretizedDermanKaniBarrierOption, DiscretizedConvertible, DiscretizedCapFloor, DiscretizedSwap, DiscretizedSwaption, and DiscretizedVanillaOption.

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preAdjustValues()

void preAdjustValues

(

)

This method will be invoked after rollback and before any other asset (i.e., an option on this one) has any chance to look at the values. For instance, payments happening at times already spanned by the rollback will be added here.

This method is not virtual; derived classes must override the protected preAdjustValuesImpl() method instead.

Definition at line 201 of file discretizedasset.hpp.

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postAdjustValues()

void postAdjustValues

(

)

This method will be invoked after rollback and after any other asset had their chance to look at the values. For instance, payments happening at the present time (and therefore not included in an option to be exercised at this time) will be added here.

This method is not virtual; derived classes must override the protected postAdjustValuesImpl() method instead.

Definition at line 208 of file discretizedasset.hpp.

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adjustValues()

void adjustValues

(

)

This method performs both pre- and post-adjustment

Definition at line 113 of file discretizedasset.hpp.

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mandatoryTimes()

virtual std::vector< Time > mandatoryTimes ( ) const

pure 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.

Note

The returned values are not guaranteed to be sorted.

Implemented in DiscretizedDiscountBond, DiscretizedOption, DiscretizedDoubleBarrierOption, DiscretizedDermanKaniDoubleBarrierOption, DiscretizedCallableFixedRateBond, DiscretizedBarrierOption, DiscretizedDermanKaniBarrierOption, DiscretizedConvertible, DiscretizedCapFloor, DiscretizedSwap, and DiscretizedVanillaOption.

isOnTime()

bool isOnTime ( Time  t ) const

protected

This method checks whether the asset was rolled at the given time.

Definition at line 215 of file discretizedasset.hpp.

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preAdjustValuesImpl()

virtual void preAdjustValuesImpl ( )

protectedvirtual

This method performs the actual pre-adjustment

Reimplemented in DiscretizedCallableFixedRateBond, DiscretizedCapFloor, and DiscretizedSwap.

Definition at line 134 of file discretizedasset.hpp.

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postAdjustValuesImpl()

virtual void postAdjustValuesImpl ( )

protectedvirtual

This method performs the actual post-adjustment

Reimplemented in DiscretizedOption, DiscretizedDoubleBarrierOption, DiscretizedDermanKaniDoubleBarrierOption, DiscretizedCallableFixedRateBond, DiscretizedBarrierOption, DiscretizedDermanKaniBarrierOption, DiscretizedConvertible, DiscretizedCapFloor, DiscretizedSwap, and DiscretizedVanillaOption.

Definition at line 136 of file discretizedasset.hpp.

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Member Data Documentation

time_

Time time_

protected

Definition at line 138 of file discretizedasset.hpp.

latestPreAdjustment_

Time latestPreAdjustment_

protected

Definition at line 139 of file discretizedasset.hpp.

latestPostAdjustment_

Time latestPostAdjustment_

protected

Definition at line 139 of file discretizedasset.hpp.

values_

Array values_

protected

Definition at line 140 of file discretizedasset.hpp.

method_

ext::shared_ptr<Lattice> method_

private

Definition at line 142 of file discretizedasset.hpp.