- QuantLib
- DiscretizedOption
 
Discretized option on a given asset. More...
#include <ql/discretizedasset.hpp>

| Public Member Functions | |
| DiscretizedOption (const boost::shared_ptr< DiscretizedAsset > &underlying, Exercise::Type exerciseType, const std::vector< Time > &exerciseTimes) | |
| void | reset (Size size) | 
| std::vector< Time > | mandatoryTimes () const | 
| Protected Member Functions | |
| void | postAdjustValuesImpl () | 
| void | applyExerciseCondition () | 
| Protected Attributes | |
| boost::shared_ptr < DiscretizedAsset > | underlying_ | 
| Exercise::Type | exerciseType_ | 
| std::vector< Time > | exerciseTimes_ | 
Discretized option on a given asset.
This method should initialize the asset values to an Array of the given size and with values depending on the particular asset.
Implements DiscretizedAsset.
| 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.
Implements DiscretizedAsset.
| void postAdjustValuesImpl | ( | ) |  [protected, virtual] | 
This method performs the actual post-adjustment
Reimplemented from DiscretizedAsset.