QuantLib_DiscretizedOption man page
DiscretizedOption — Discretized option on a given asset.
Inherited by DiscretizedSwaption.
Public Member Functions
DiscretizedOption (const boost::shared_ptr< DiscretizedAsset > &underlying, Exercise::Type exerciseType, const std::vector< Time > &exerciseTimes)
void reset (Size size)
std::vector< Time > mandatoryTimes () const
Protected Member Functions
void postAdjustValuesImpl ()
void applyExerciseCondition ()
boost::shared_ptr< DiscretizedAsset > underlying_
std::vector< Time > exerciseTimes_
Discretized option on a given asset.
it is advised that derived classes take care of creating and initializing themselves an instance of the underlying.
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.
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.
void postAdjustValuesImpl () [protected], [virtual]
This method performs the actual post-adjustment
Reimplemented from DiscretizedAsset.
Generated automatically by Doxygen for QuantLib from the source code.
applyExerciseCondition(3), DiscretizedOption(3), exerciseTimes_(3) and exerciseType_(3) are aliases of QuantLib_DiscretizedOption(3).