1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.0 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=iso-8859-1">
<meta name="robots" content="none">
<title>QuantLib: DiscretizedAsset Class Reference</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="212" height="47" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 0.3.14</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="overview.html">Project overview</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="faq.html">Frequently asked questions</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="todo.html">Todo List</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="deprecated.html">Deprecated Features</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.5.1 -->
<div class="nav">
<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_discretized_asset.html">DiscretizedAsset</a></div>
<h1>DiscretizedAsset Class Reference</h1><!-- doxytag: class="QuantLib::DiscretizedAsset" --><code>#include <ql/discretizedasset.hpp></code>
<p>
Inheritance diagram for DiscretizedAsset:<p><center><img src="class_quant_lib_1_1_discretized_asset__inherit__graph.png" border="0" usemap="#_discretized_asset__inherit__map" alt="Inheritance graph"></center>
<map name="_discretized_asset__inherit__map">
<area href="class_quant_lib_1_1_discretized_discount_bond.html" shape="rect" coords="5,81,195,105" alt="">
<area href="class_quant_lib_1_1_discretized_option.html" shape="rect" coords="219,81,360,105" alt="">
</map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center><a href="class_quant_lib_1_1_discretized_asset-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Discretized asset class used by numerical methods.
<p>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td colspan="2"><div class="groupHeader">inspectors</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="07ca48d6982742d58e0dbfd2975c33dc"></a><!-- doxytag: member="QuantLib::DiscretizedAsset::time" ref="07ca48d6982742d58e0dbfd2975c33dc" args="() const" -->
Time </td><td class="memItemRight" valign="bottom"><b>time</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="252c914b2d10cfe6e7d555128185d5d7"></a><!-- doxytag: member="QuantLib::DiscretizedAsset::time" ref="252c914b2d10cfe6e7d555128185d5d7" args="()" -->
Time & </td><td class="memItemRight" valign="bottom"><b>time</b> ()</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="be4a43df1e8460232cd5eea87360f66a"></a><!-- doxytag: member="QuantLib::DiscretizedAsset::values" ref="be4a43df1e8460232cd5eea87360f66a" args="() const" -->
const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> & </td><td class="memItemRight" valign="bottom"><b>values</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a3153146194de0ef429000ccd8c7eb25"></a><!-- doxytag: member="QuantLib::DiscretizedAsset::values" ref="a3153146194de0ef429000ccd8c7eb25" args="()" -->
<a class="el" href="class_quant_lib_1_1_array.html">Array</a> & </td><td class="memItemRight" valign="bottom"><b>values</b> ()</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8a0217184a95beb10f09c3a2007b68f5"></a><!-- doxytag: member="QuantLib::DiscretizedAsset::method" ref="8a0217184a95beb10f09c3a2007b68f5" args="() const" -->
const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_numerical_method.html">NumericalMethod</a> > & </td><td class="memItemRight" valign="bottom"><b>method</b> () const</td></tr>
<tr><td colspan="2"><div class="groupHeader">High-level interface</div></td></tr>
<tr><td colspan="2"><div class="groupText">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 NumericalMethod interface, to which we refer for documentation. <br><br></div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1dc7e944450b87eb2dd911cef5e7df78"></a><!-- doxytag: member="QuantLib::DiscretizedAsset::initialize" ref="1dc7e944450b87eb2dd911cef5e7df78" args="(const boost::shared_ptr< NumericalMethod > &, Time t)" -->
void </td><td class="memItemRight" valign="bottom"><b>initialize</b> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_numerical_method.html">NumericalMethod</a> > &, Time t)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ef4cbc1d4c3994be66cc8b8a943e5151"></a><!-- doxytag: member="QuantLib::DiscretizedAsset::rollback" ref="ef4cbc1d4c3994be66cc8b8a943e5151" args="(Time to)" -->
void </td><td class="memItemRight" valign="bottom"><b>rollback</b> (Time to)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a2f3ac04333282912860221a3b90e23b"></a><!-- doxytag: member="QuantLib::DiscretizedAsset::partialRollback" ref="a2f3ac04333282912860221a3b90e23b" args="(Time to)" -->
void </td><td class="memItemRight" valign="bottom"><b>partialRollback</b> (Time to)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6c08e31d5f5a5d45b311bae8c7f4b0f2"></a><!-- doxytag: member="QuantLib::DiscretizedAsset::presentValue" ref="6c08e31d5f5a5d45b311bae8c7f4b0f2" args="()" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>presentValue</b> ()</td></tr>
<tr><td colspan="2"><div class="groupHeader">Low-level interface</div></td></tr>
<tr><td colspan="2"><div class="groupText">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(). <br><br></div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_discretized_asset.html#95238187618927d950bb01e363f772dd">reset</a> (Size size)=0</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_discretized_asset.html#550c12c68b9f731f0017dd8f826c7afa">preAdjustValues</a> ()</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_discretized_asset.html#5c6657e78e9d0771e7df6761853e2042">postAdjustValues</a> ()</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_discretized_asset.html#3fd0b540d11b207a4dffcac657330b3d">adjustValues</a> ()</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual std::vector< Time > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_discretized_asset.html#520fddc06253daaf88dc7420a9816a94">mandatoryTimes</a> () const=0</td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">bool </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_discretized_asset.html#339ca58dd593d1875feabf05053f1370">isOnTime</a> (Time t) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_discretized_asset.html#1cd0989529ea6494ee706dd772506455">preAdjustValuesImpl</a> ()</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_discretized_asset.html#371a4f1247c8ff3fc41d288a3ab3164a">postAdjustValuesImpl</a> ()</td></tr>
<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e97b689c7df7487279f31ab5af9b3762"></a><!-- doxytag: member="QuantLib::DiscretizedAsset::time_" ref="e97b689c7df7487279f31ab5af9b3762" args="" -->
Time </td><td class="memItemRight" valign="bottom"><b>time_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fb82cc42be705c48a8351e203748b02d"></a><!-- doxytag: member="QuantLib::DiscretizedAsset::latestPreAdjustment_" ref="fb82cc42be705c48a8351e203748b02d" args="" -->
Time </td><td class="memItemRight" valign="bottom"><b>latestPreAdjustment_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bb9ebdedf694d081a3763668136bfc7f"></a><!-- doxytag: member="QuantLib::DiscretizedAsset::latestPostAdjustment_" ref="bb9ebdedf694d081a3763668136bfc7f" args="" -->
Time </td><td class="memItemRight" valign="bottom"><b>latestPostAdjustment_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="99a3a78defaeab5ede226107da665b96"></a><!-- doxytag: member="QuantLib::DiscretizedAsset::values_" ref="99a3a78defaeab5ede226107da665b96" args="" -->
<a class="el" href="class_quant_lib_1_1_array.html">Array</a> </td><td class="memItemRight" valign="bottom"><b>values_</b></td></tr>
</table>
<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="95238187618927d950bb01e363f772dd"></a><!-- doxytag: member="QuantLib::DiscretizedAsset::reset" ref="95238187618927d950bb01e363f772dd" args="(Size size)=0" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">virtual void reset </td>
<td>(</td>
<td class="paramtype">Size </td>
<td class="paramname"> <em>size</em> </td>
<td> ) </td>
<td width="100%"><code> [pure virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
This method should initialize the asset values to an <a class="el" href="class_quant_lib_1_1_array.html">Array</a> of the given size and with values depending on the particular asset.
<p>
Implemented in <a class="el" href="class_quant_lib_1_1_discretized_discount_bond.html#1142d869230e14e04fc5d755b9b15e52">DiscretizedDiscountBond</a>, and <a class="el" href="class_quant_lib_1_1_discretized_option.html#1142d869230e14e04fc5d755b9b15e52">DiscretizedOption</a>.
</div>
</div><p>
<a class="anchor" name="550c12c68b9f731f0017dd8f826c7afa"></a><!-- doxytag: member="QuantLib::DiscretizedAsset::preAdjustValues" ref="550c12c68b9f731f0017dd8f826c7afa" args="()" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void preAdjustValues </td>
<td>(</td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
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.<p>
This method is not virtual; derived classes must override the protected <a class="el" href="class_quant_lib_1_1_discretized_asset.html#1cd0989529ea6494ee706dd772506455">preAdjustValuesImpl()</a> method instead.
</div>
</div><p>
<a class="anchor" name="5c6657e78e9d0771e7df6761853e2042"></a><!-- doxytag: member="QuantLib::DiscretizedAsset::postAdjustValues" ref="5c6657e78e9d0771e7df6761853e2042" args="()" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void postAdjustValues </td>
<td>(</td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
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.<p>
This method is not virtual; derived classes must override the protected <a class="el" href="class_quant_lib_1_1_discretized_asset.html#371a4f1247c8ff3fc41d288a3ab3164a">postAdjustValuesImpl()</a> method instead.
</div>
</div><p>
<a class="anchor" name="3fd0b540d11b207a4dffcac657330b3d"></a><!-- doxytag: member="QuantLib::DiscretizedAsset::adjustValues" ref="3fd0b540d11b207a4dffcac657330b3d" args="()" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void adjustValues </td>
<td>(</td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
This method performs both pre- and post-adjustment
</div>
</div><p>
<a class="anchor" name="520fddc06253daaf88dc7420a9816a94"></a><!-- doxytag: member="QuantLib::DiscretizedAsset::mandatoryTimes" ref="520fddc06253daaf88dc7420a9816a94" args="() const=0" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">virtual std::vector<Time> mandatoryTimes </td>
<td>(</td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"> const<code> [pure virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
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.<p>
<dl class="note" compact><dt><b>Note:</b></dt><dd>The returned values are not guaranteed to be sorted. </dd></dl>
<p>
Implemented in <a class="el" href="class_quant_lib_1_1_discretized_discount_bond.html#264dde8c964461f44e642bc6ae8fb0e0">DiscretizedDiscountBond</a>, and <a class="el" href="class_quant_lib_1_1_discretized_option.html#ae856b92cb2af7c60d7ba1bbaa626cf1">DiscretizedOption</a>.
</div>
</div><p>
<a class="anchor" name="339ca58dd593d1875feabf05053f1370"></a><!-- doxytag: member="QuantLib::DiscretizedAsset::isOnTime" ref="339ca58dd593d1875feabf05053f1370" args="(Time t) const" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">bool isOnTime </td>
<td>(</td>
<td class="paramtype">Time </td>
<td class="paramname"> <em>t</em> </td>
<td> ) </td>
<td width="100%"> const<code> [protected]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
This method checks whether the asset was rolled at the given time.
</div>
</div><p>
<a class="anchor" name="1cd0989529ea6494ee706dd772506455"></a><!-- doxytag: member="QuantLib::DiscretizedAsset::preAdjustValuesImpl" ref="1cd0989529ea6494ee706dd772506455" args="()" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">virtual void preAdjustValuesImpl </td>
<td>(</td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"><code> [protected, virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
This method performs the actual pre-adjustment
</div>
</div><p>
<a class="anchor" name="371a4f1247c8ff3fc41d288a3ab3164a"></a><!-- doxytag: member="QuantLib::DiscretizedAsset::postAdjustValuesImpl" ref="371a4f1247c8ff3fc41d288a3ab3164a" args="()" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">virtual void postAdjustValuesImpl </td>
<td>(</td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"><code> [protected, virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
This method performs the actual post-adjustment
<p>
Reimplemented in <a class="el" href="class_quant_lib_1_1_discretized_option.html#85429fd2334469ecf405ecf57a624b73">DiscretizedOption</a>.
</div>
</div><p>
</div>
<div class="footer">
<table align="top" width="100%">
<tr>
<td align="middle" width="33%">
<strong>QuantLib.org</strong><br>
<a href="http://quantlib.org/">
<img src="QL-small.jpg" alt="QuantLib" align="middle" border=0>
</a>
</td>
<td align="middle" width="33%">
<strong>Hosted by</strong><br>
<a href="http://sourceforge.net"><img src=
"sfnetlogo.png" width="88" height="31"
border="0" alt="SourceForge.net Logo"></a>
</td>
<td align="middle" width="33%">
<strong>Documentation generated by</strong><br>
<a href="http://www.doxygen.org">
<img src="doxygen.png" alt="doxygen" align="middle" border=0 width=110 height=53>
</a></td>
</tr>
</table>
</div>
</div>
</body>
</html>
|
