QuantLib_DiscretizedDoubleBarrierOption man page

DiscretizedDoubleBarrierOption — Standard discretized option helper class.

Synopsis

#include <ql/experimental/barrieroption/discretizeddoublebarrieroption.hpp>

Inherits DiscretizedAsset.

Public Member Functions

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

void reset (Size size)

const Array & vanilla () const

const DoubleBarrierOption::arguments & arguments () const

virtual std::vector< Time > mandatoryTimes () const

void checkBarrier (Array &optvalues, const Array &grid) const

Protected Member Functions

void postAdjustValuesImpl ()

Additional Inherited Members

Detailed Description

Standard discretized option helper class.

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

Member Function Documentation

void reset (Size size) [virtual]

This method should initialize the asset values to an Array of the given size and with values depending on the particular asset.

Implements DiscretizedAsset.

virtual std::vector<Time> mandatoryTimes () const [virtual]

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.

Note:

The returned values are not guaranteed to be sorted.

Implements DiscretizedAsset.

void postAdjustValuesImpl () [protected], [virtual]

This method performs the actual post-adjustment

Reimplemented from DiscretizedAsset.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

arguments(3), checkBarrier(3), DiscretizedDoubleBarrierOption(3) and vanilla(3) are aliases of QuantLib_DiscretizedDoubleBarrierOption(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib