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 | |
DiscretizedBarrierOption (const BarrierOption::arguments &, const StochasticProcess &process, const TimeGrid &grid=TimeGrid()) | |
void | reset (Size size) override |
const Array & | vanilla () const |
const BarrierOption::arguments & | arguments () const |
std::vector< Time > | mandatoryTimes () const override |
void | checkBarrier (Array &optvalues, const Array &grid) const |
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 Attributes | |
BarrierOption::arguments | arguments_ |
std::vector< Time > | stoppingTimes_ |
DiscretizedVanillaOption | vanilla_ |
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 34 of file discretizedbarrieroption.hpp.
DiscretizedBarrierOption | ( | const BarrierOption::arguments & | args, |
const StochasticProcess & | process, | ||
const TimeGrid & | grid = TimeGrid() |
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) |
Definition at line 25 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 43 of file discretizedbarrieroption.cpp.
const Array & vanilla | ( | ) | const |
Definition at line 42 of file discretizedbarrieroption.hpp.
const BarrierOption::arguments & arguments | ( | ) | const |
Definition at line 46 of file discretizedbarrieroption.hpp.
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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 50 of file discretizedbarrieroption.hpp.
Definition at line 58 of file discretizedbarrieroption.cpp.
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overrideprotectedvirtual |
This method performs the actual post-adjustment
Reimplemented from DiscretizedAsset.
Definition at line 49 of file discretizedbarrieroption.cpp.
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private |
Definition at line 57 of file discretizedbarrieroption.hpp.
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private |
Definition at line 58 of file discretizedbarrieroption.hpp.
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private |
Definition at line 59 of file discretizedbarrieroption.hpp.