DiscretizedOption Class Reference#include <ql/discretizedasset.hpp>
Inheritance diagram for DiscretizedOption:
[legend]List of all members.
Detailed Description
Discretized option on another asset.
- Precondition:
- The underlying asset must be initialized
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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 > ×) const |
Protected Member Functions |
void | applyExerciseCondition () |
Protected Attributes |
boost::shared_ptr< DiscretizedAsset > | underlying_ |
Exercise::Type | exerciseType_ |
std::vector< Time > | exerciseTimes_ |
Member Function Documentation
void postAdjustValues |
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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. |
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