Discretized asset class used by numerical methods. More...

#include <ql/discretizedasset.hpp>

Inheritance diagram for DiscretizedAsset:

Public Member Functions
inspectors
Time	time () const

Time &	time ()

const Array &	values () const

Array &	values ()

const ext::shared_ptr< Lattice > &	method () const

High-level interface
Users of discretized assets should use these methods in order to initialize, evolve and take the present value of the assets. They call the corresponding methods in the Lattice interface, to which we refer for documentation.
void	initialize (const ext::shared_ptr< Lattice > &, Time t)

void	rollback (Time to)

void	partialRollback (Time to)

Real	presentValue ()

Low-level interface
These methods (that developers should override when deriving from DiscretizedAsset) are to be used by numerical methods and not directly by users, with the exception of adjustValues(), preAdjustValues() and postAdjustValues() that can be used together with partialRollback().
Time	time_

Time	latestPreAdjustment_

Time	latestPostAdjustment_

Array	values_

virtual void	reset (Size size)=0

void	preAdjustValues ()

void	postAdjustValues ()

void	adjustValues ()

virtual std::vector< Time >	mandatoryTimes () const =0

bool	isOnTime (Time t) const

virtual void	preAdjustValuesImpl ()

virtual void	postAdjustValuesImpl ()

Detailed Description

Discretized asset class used by numerical methods.

Member Function Documentation

◆ reset()

virtual void reset ( Size size )

pure virtual

This method should initialize the asset values to an Array of the given size and with values depending on the particular asset.

Implemented in DiscretizedDermanKaniDoubleBarrierOption, DiscretizedDoubleBarrierOption, DiscretizedOption, and DiscretizedDiscountBond.

◆ preAdjustValues()

void preAdjustValues ( )

This method will be invoked after rollback and before any other asset (i.e., an option on this one) has any chance to look at the values. For instance, payments happening at times already spanned by the rollback will be added here.

This method is not virtual; derived classes must override the protected preAdjustValuesImpl() method instead.

◆ postAdjustValues()

void postAdjustValues ( )

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.

This method is not virtual; derived classes must override the protected postAdjustValuesImpl() method instead.

◆ adjustValues()

void adjustValues ( )

This method performs both pre- and post-adjustment

◆ mandatoryTimes()

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

pure 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.

Implemented in DiscretizedDermanKaniDoubleBarrierOption, DiscretizedDoubleBarrierOption, DiscretizedOption, and DiscretizedDiscountBond.

◆ isOnTime()

bool isOnTime ( Time t ) const

protected

This method checks whether the asset was rolled at the given time.

◆ preAdjustValuesImpl()

virtual void preAdjustValuesImpl ( )

protectedvirtual

This method performs the actual pre-adjustment

◆ postAdjustValuesImpl()

virtual void postAdjustValuesImpl ( )