Discretized option on a given asset. More...
#include <ql/discretizedasset.hpp>
 Inheritance diagram for DiscretizedOption:
 Inheritance diagram for DiscretizedOption:| 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 | 
|  Public Member Functions inherited from DiscretizedAsset | |
| Time | time () const | 
| Time & | time () | 
| const Array & | values () const | 
| Array & | values () | 
| const boost::shared_ptr< Lattice > & | method () const | 
| void | initialize (const boost::shared_ptr< Lattice > &, Time t) | 
| void | rollback (Time to) | 
| void | partialRollback (Time to) | 
| Real | presentValue () | 
| void | preAdjustValues () | 
| void | postAdjustValues () | 
| void | adjustValues () | 
| Protected Member Functions | |
| void | postAdjustValuesImpl () | 
| void | applyExerciseCondition () | 
|  Protected Member Functions inherited from DiscretizedAsset | |
| bool | isOnTime (Time t) const | 
| virtual void | preAdjustValuesImpl () | 
| Protected Attributes | |
| boost::shared_ptr< DiscretizedAsset > | underlying_ | 
| Exercise::Type | exerciseType_ | 
| std::vector< Time > | exerciseTimes_ | 
|  Protected Attributes inherited from DiscretizedAsset | |
| Time | time_ | 
| Time | latestPreAdjustment_ | 
| Time | latestPostAdjustment_ | 
| Array | values_ | 
Discretized option on a given asset.
| 
 | 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 | 
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.
Implements DiscretizedAsset.
| 
 | protectedvirtual | 
This method performs the actual post-adjustment
Reimplemented from DiscretizedAsset.