QuantLib_DiscretizedDoubleBarrierOption man page

DiscretizedDoubleBarrierOption — Standard discretized option helper class.  


#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.


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.


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Referenced By

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

Fri Feb 10 2017 Version 1.9.1 QuantLib