QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
pricingengines
vanilla
discretizedvanillaoption.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2002, 2003 Sadruddin Rejeb
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Copyright (C) 2004, 2007 StatPro Italia srl
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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/*! \file discretizedvanillaoption.hpp
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\brief discretized vanilla option
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*/
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#ifndef quantlib_discretized_vanilla_option_h
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#define quantlib_discretized_vanilla_option_h
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#include <
ql/discretizedasset.hpp
>
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#include <
ql/methods/lattices/bsmlattice.hpp
>
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#include <
ql/instruments/vanillaoption.hpp
>
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namespace
QuantLib
{
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class
DiscretizedVanillaOption
:
public
DiscretizedAsset
{
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public
:
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DiscretizedVanillaOption
(
const
VanillaOption::arguments
&,
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const
StochasticProcess
& process,
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const
TimeGrid
& grid =
TimeGrid
());
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void
reset
(
Size
size)
override
;
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std::vector<Time>
mandatoryTimes
()
const override
{
return
stoppingTimes_
; }
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protected
:
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void
postAdjustValuesImpl
()
override
;
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private
:
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void
applySpecificCondition
();
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VanillaOption::arguments
arguments_
;
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std::vector<Time>
stoppingTimes_
;
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};
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}
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#endif
bsmlattice.hpp
Binomial trees under the BSM model.
QuantLib::DiscretizedAsset
Discretized asset class used by numerical methods.
Definition:
discretizedasset.hpp:36
QuantLib::DiscretizedVanillaOption
Definition:
discretizedvanillaoption.hpp:34
QuantLib::DiscretizedVanillaOption::stoppingTimes_
std::vector< Time > stoppingTimes_
Definition:
discretizedvanillaoption.hpp:50
QuantLib::DiscretizedVanillaOption::arguments_
VanillaOption::arguments arguments_
Definition:
discretizedvanillaoption.hpp:49
QuantLib::DiscretizedVanillaOption::postAdjustValuesImpl
void postAdjustValuesImpl() override
Definition:
discretizedvanillaoption.cpp:47
QuantLib::DiscretizedVanillaOption::mandatoryTimes
std::vector< Time > mandatoryTimes() const override
Definition:
discretizedvanillaoption.hpp:42
QuantLib::DiscretizedVanillaOption::applySpecificCondition
void applySpecificCondition()
Definition:
discretizedvanillaoption.cpp:71
QuantLib::DiscretizedVanillaOption::reset
void reset(Size size) override
Definition:
discretizedvanillaoption.cpp:42
QuantLib::Option::arguments
basic option arguments
Definition:
option.hpp:57
QuantLib::StochasticProcess
multi-dimensional stochastic process class.
Definition:
stochasticprocess.hpp:42
QuantLib::TimeGrid
time grid class
Definition:
timegrid.hpp:43
discretizedasset.hpp
Discretized asset classes.
QuantLib::Size
std::size_t Size
size of a container
Definition:
types.hpp:58
QuantLib
Definition:
any.hpp:35
vanillaoption.hpp
Vanilla option on a single asset.
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