QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | Protected Member Functions | List of all members
DiscretizedDoubleBarrierOption Class Reference

Standard discretized option helper class. More...

#include <ql/experimental/barrieroption/discretizeddoublebarrieroption.hpp>

+ Inheritance diagram for DiscretizedDoubleBarrierOption:

Public Member Functions

 DiscretizedDoubleBarrierOption (const DoubleBarrierOption::arguments &, const StochasticProcess &process, const TimeGrid &grid=TimeGrid())
 
void reset (Size size)
 
const Arrayvanilla () const
 
const DoubleBarrierOption::argumentsarguments () const
 
virtual std::vector< TimemandatoryTimes () const
 
void checkBarrier (Array &optvalues, const Array &grid) const
 
- Public Member Functions inherited from DiscretizedAsset
Time time () const
 
Timetime ()
 
const Arrayvalues () const
 
Arrayvalues ()
 
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 ()
 
- Protected Member Functions inherited from DiscretizedAsset
bool isOnTime (Time t) const
 
virtual void preAdjustValuesImpl ()
 

Additional Inherited Members

- Protected Attributes inherited from DiscretizedAsset
Time time_
 
Time latestPreAdjustment_
 
Time latestPostAdjustment_
 
Array values_
 

Detailed Description

Standard discretized option helper class.

This class is used with the BinomialDoubleBarrierEngine to implement a standard binomial algorithm for double barrier options

Member Function Documentation

◆ reset()

void reset ( Size  size)
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.

◆ mandatoryTimes()

virtual std::vector<Time> mandatoryTimes ( ) const
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.

Note
The returned values are not guaranteed to be sorted.

Implements DiscretizedAsset.

◆ postAdjustValuesImpl()

void postAdjustValuesImpl ( )
protectedvirtual

This method performs the actual post-adjustment

Reimplemented from DiscretizedAsset.