QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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discretizedvanillaoption.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2002, 2003 Sadruddin Rejeb
5 Copyright (C) 2004, 2007 StatPro Italia srl
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21/*! \file discretizedvanillaoption.hpp
22 \brief discretized vanilla option
23*/
24
25#ifndef quantlib_discretized_vanilla_option_h
26#define quantlib_discretized_vanilla_option_h
27
31
32namespace QuantLib {
33
35 public:
37 const StochasticProcess& process,
38 const TimeGrid& grid = TimeGrid());
39
40 void reset(Size size) override;
41
42 std::vector<Time> mandatoryTimes() const override { return stoppingTimes_; }
43
44 protected:
45 void postAdjustValuesImpl() override;
46
47 private:
50 std::vector<Time> stoppingTimes_;
51 };
52
53}
54
55
56
57
58
59#endif
Binomial trees under the BSM model.
Discretized asset class used by numerical methods.
std::vector< Time > mandatoryTimes() const override
basic option arguments
Definition: option.hpp:57
multi-dimensional stochastic process class.
time grid class
Definition: timegrid.hpp:43
Discretized asset classes.
std::size_t Size
size of a container
Definition: types.hpp:58
Definition: any.hpp:35
Vanilla option on a single asset.