QuantLib_ShoutCondition man page

ShoutCondition — Shout option condition.


#include <ql/methods/finitedifferences/shoutcondition.hpp>

Inherits CurveDependentStepCondition< array_type >.

Public Member Functions

ShoutCondition (Option::Type type, Real strike, Time resTime, Rate rate)

ShoutCondition (const Array &intrinsicValues, Time resTime, Rate rate)

void applyTo (Array &a, Time t) const

Detailed Description

Shout option condition.

A shout option is an option where the holder has the right to lock in a minimum value for the payoff at one (shout) time during the option's life. The minimum value is the option's intrinsic value at the shout time.


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Referenced By

ShoutCondition(3) is an alias of QuantLib_ShoutCondition(3).

QuantLib Version 1.8.1 Fri Sep 23 2016