QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Discretized option on a given asset. More...
#include <discretizedasset.hpp>
Public Member Functions | |
DiscretizedOption (ext::shared_ptr< DiscretizedAsset > underlying, Exercise::Type exerciseType, std::vector< Time > exerciseTimes) | |
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 |
void | applyExerciseCondition () |
Protected Member Functions inherited from DiscretizedAsset | |
bool | isOnTime (Time t) const |
virtual void | preAdjustValuesImpl () |
Protected Attributes | |
ext::shared_ptr< DiscretizedAsset > | underlying_ |
Exercise::Type | exerciseType_ |
std::vector< Time > | exerciseTimes_ |
Protected Attributes inherited from DiscretizedAsset | |
Time | time_ |
Time | latestPreAdjustment_ |
Time | latestPostAdjustment_ |
Array | values_ |
Additional Inherited Members | |
Protected Types inherited from DiscretizedAsset | |
enum class | CouponAdjustment { pre , post } |
Discretized option on a given asset.
Definition at line 160 of file discretizedasset.hpp.
DiscretizedOption | ( | ext::shared_ptr< DiscretizedAsset > | underlying, |
Exercise::Type | exerciseType, | ||
std::vector< Time > | exerciseTimes | ||
) |
Definition at line 162 of file discretizedasset.hpp.
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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.
Reimplemented in DiscretizedSwaption.
Definition at line 221 of file discretizedasset.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 229 of file discretizedasset.hpp.
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overrideprotectedvirtual |
This method performs the actual post-adjustment
Reimplemented from DiscretizedAsset.
Definition at line 25 of file discretizedasset.cpp.
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protected |
Definition at line 239 of file discretizedasset.hpp.
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protected |
Definition at line 173 of file discretizedasset.hpp.
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protected |
Definition at line 174 of file discretizedasset.hpp.
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protected |
Definition at line 175 of file discretizedasset.hpp.