DiscretizedSwap Class Reference

#include <ql/PricingEngines/Swaption/discretizedswaption.hpp>

Inheritance diagram for DiscretizedSwap:

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Detailed Description

Bug:
floating coupons which have already fixed are not included during rollback


Public Member Functions

 DiscretizedSwap (const boost::shared_ptr< NumericalMethod > &method, const SimpleSwap::arguments &params)
void reset (Size size)
void preAdjustValues ()
void addTimesTo (std::list< Time > &times) const


Member Function Documentation

void preAdjustValues  )  [virtual]
 

This method will be invoked after rollback and before any other asset (i.e., an option on this one) has any chance to look at the values. For instance, payments happening at times already spanned by the rollback will be added here.

Reimplemented from DiscretizedAsset.


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