Standard discretized option helper class. More...

#include <discretizeddoublebarrieroption.hpp>

Inheritance diagram for DiscretizedDoubleBarrierOption:

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Public Member Functions
	DiscretizedDoubleBarrierOption (const DoubleBarrierOption::arguments &, const StochasticProcess &process, const TimeGrid &grid=TimeGrid())

void	reset (Size size) override

const Array &	vanilla () const

const DoubleBarrierOption::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
DoubleBarrierOption::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_

Detailed Description

Standard discretized option helper class.

This class is used with the BinomialDoubleBarrierEngine to implement a standard binomial algorithm for double barrier options

Definition at line 39 of file discretizeddoublebarrieroption.hpp.

Constructor & Destructor Documentation

◆ DiscretizedDoubleBarrierOption()

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

Definition at line 25 of file discretizeddoublebarrieroption.cpp.

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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 43 of file discretizeddoublebarrieroption.cpp.

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◆ vanilla()

const Array & vanilla ( ) const

Definition at line 47 of file discretizeddoublebarrieroption.hpp.

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◆ arguments()

const DoubleBarrierOption::arguments & arguments ( ) const

Definition at line 51 of file discretizeddoublebarrieroption.hpp.

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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.