Standard discretized option helper class. More...
#include <ql/experimental/barrieroption/discretizeddoublebarrieroption.hpp>
Public Member Functions | |
DiscretizedDoubleBarrierOption (const DoubleBarrierOption::arguments &, const StochasticProcess &process, const TimeGrid &grid=TimeGrid()) | |
void | reset (Size size) |
const Array & | vanilla () const |
const DoubleBarrierOption::arguments & | arguments () const |
virtual std::vector< Time > | mandatoryTimes () const |
void | checkBarrier (Array &optvalues, const Array &grid) const |
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Time | time () const |
Time & | time () |
const Array & | values () const |
Array & | values () |
const ext::shared_ptr< Lattice > & | method () const |
void | initialize (const ext::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 () |
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bool | isOnTime (Time t) const |
virtual void | preAdjustValuesImpl () |
Additional Inherited Members | |
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Time | time_ |
Time | latestPreAdjustment_ |
Time | latestPostAdjustment_ |
Array | values_ |
Standard discretized option helper class.
This class is used with the BinomialDoubleBarrierEngine to implement a standard binomial algorithm for double barrier options
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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.
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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.
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protectedvirtual |
This method performs the actual post-adjustment
Reimplemented from DiscretizedAsset.