DiscretizedOption Class Reference

#include <ql/discretizedasset.hpp>

Inheritance diagram for DiscretizedOption:

Inheritance graph
[legend]
List of all members.

Detailed Description

Discretized option on another asset.

Precondition:
The underlying asset must be initialized


Public Member Functions

 DiscretizedOption (const boost::shared_ptr< DiscretizedAsset > &underlying, Exercise::Type exerciseType, const std::vector< Time > &exerciseTimes)
void reset (Size size)
void postAdjustValues ()
void addTimesTo (std::list< Time > &times) const

Protected Member Functions

void applyExerciseCondition ()

Protected Attributes

boost::shared_ptr< DiscretizedAssetunderlying_
Exercise::Type exerciseType_
std::vector< TimeexerciseTimes_


Member Function Documentation

void postAdjustValues  )  [virtual]
 

This method will be invoked after rollback and after any other asset had their chance to look at the values. For instance, payments happening at the present time (and therefore not included in an option to be exercised at this time) will be added here.

Reimplemented from DiscretizedAsset.


QuantLib.org
QuantLib
Hosted by
SourceForge.net Logo
Documentation generated by
doxygen