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<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><a class="el" href="class_quant_lib_1_1_discretized_option.html">DiscretizedOption</a> </li>
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<a href="#pub-methods">Public Member Functions</a> |
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<div class="title">DiscretizedOption Class Reference</div> </div>
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<!-- doxytag: class="QuantLib::DiscretizedOption" --><!-- doxytag: inherits="QuantLib::DiscretizedAsset" -->
<p>Discretized option on a given asset.
<a href="class_quant_lib_1_1_discretized_option.html#details">More...</a></p>
<p><code>#include <ql/discretizedasset.hpp></code></p>
<div class="dynheader">
Inheritance diagram for DiscretizedOption:</div>
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<div class="center"><img src="class_quant_lib_1_1_discretized_option__inherit__graph.png" border="0" usemap="#_discretized_option_inherit__map" alt="Inheritance graph"/></div>
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<area shape="rect" id="node2" href="class_quant_lib_1_1_discretized_asset.html" title="Discretized asset class used by numerical methods." alt="" coords="8,6,128,37"/></map>
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<p><a href="class_quant_lib_1_1_discretized_option-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="abacbceb782d539eeeb836afe7ee01171"></a><!-- doxytag: member="QuantLib::DiscretizedOption::DiscretizedOption" ref="abacbceb782d539eeeb836afe7ee01171" args="(const boost::shared_ptr< DiscretizedAsset > &underlying, Exercise::Type exerciseType, const std::vector< Time > &exerciseTimes)" -->
 </td><td class="memItemRight" valign="bottom"><b>DiscretizedOption</b> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_discretized_asset.html">DiscretizedAsset</a> > &underlying, Exercise::Type exerciseType, const std::vector< <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > &exerciseTimes)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_discretized_option.html#a1142d869230e14e04fc5d755b9b15e52">reset</a> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> size)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top">std::vector< <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_discretized_option.html#abf1a1554b3879da28736befc32b88312">mandatoryTimes</a> () const </td></tr>
<tr><td colspan="2"><h2><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_discretized_option.html#a85429fd2334469ecf405ecf57a624b73">postAdjustValuesImpl</a> ()</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="accdcbcff5f1e292359648da5f6042a0b"></a><!-- doxytag: member="QuantLib::DiscretizedOption::applyExerciseCondition" ref="accdcbcff5f1e292359648da5f6042a0b" args="()" -->
void </td><td class="memItemRight" valign="bottom"><b>applyExerciseCondition</b> ()</td></tr>
<tr><td colspan="2"><h2><a name="pro-attribs"></a>
Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a3cb688d04b32770e59cf4307f444eea5"></a><!-- doxytag: member="QuantLib::DiscretizedOption::underlying_" ref="a3cb688d04b32770e59cf4307f444eea5" args="" -->
boost::shared_ptr<br class="typebreak"/>
< <a class="el" href="class_quant_lib_1_1_discretized_asset.html">DiscretizedAsset</a> > </td><td class="memItemRight" valign="bottom"><b>underlying_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab5b4d0728a0c51a6fbada4d450cb6f3e"></a><!-- doxytag: member="QuantLib::DiscretizedOption::exerciseType_" ref="ab5b4d0728a0c51a6fbada4d450cb6f3e" args="" -->
Exercise::Type </td><td class="memItemRight" valign="bottom"><b>exerciseType_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aa010100d61810501bed98b1773802fe5"></a><!-- doxytag: member="QuantLib::DiscretizedOption::exerciseTimes_" ref="aa010100d61810501bed98b1773802fe5" args="" -->
std::vector< <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > </td><td class="memItemRight" valign="bottom"><b>exerciseTimes_</b></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Discretized option on a given asset. </p>
<dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000005">Warning:</a></b></dt><dd>it is advised that derived classes take care of creating and initializing themselves an instance of the underlying. </dd></dl>
</div><hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="a1142d869230e14e04fc5d755b9b15e52"></a><!-- doxytag: member="QuantLib::DiscretizedOption::reset" ref="a1142d869230e14e04fc5d755b9b15e52" args="(Size size)" -->
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<td class="memname">void <a class="el" href="class_quant_lib_1_1_discretized_option.html#a1142d869230e14e04fc5d755b9b15e52">reset</a> </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td>
<td class="paramname"><em>size</em></td><td>)</td>
<td><code> [virtual]</code></td>
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<p>This method should initialize the asset values to an <a class="el" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a> of the given size and with values depending on the particular asset. </p>
<p>Implements <a class="el" href="class_quant_lib_1_1_discretized_asset.html#a95238187618927d950bb01e363f772dd">DiscretizedAsset</a>.</p>
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<a class="anchor" id="abf1a1554b3879da28736befc32b88312"></a><!-- doxytag: member="QuantLib::DiscretizedOption::mandatoryTimes" ref="abf1a1554b3879da28736befc32b88312" args="() const " -->
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<td class="memname">std::vector< <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > <a class="el" href="class_quant_lib_1_1_discretized_option.html#abf1a1554b3879da28736befc32b88312">mandatoryTimes</a> </td>
<td>(</td>
<td class="paramname"></td><td>)</td>
<td> const<code> [virtual]</code></td>
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<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"><dt><b>Note:</b></dt><dd>The returned values are not guaranteed to be sorted. </dd></dl>
<p>Implements <a class="el" href="class_quant_lib_1_1_discretized_asset.html#ace8de2f1297ce9bfbfb64cdf13f98ddc">DiscretizedAsset</a>.</p>
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<a class="anchor" id="a85429fd2334469ecf405ecf57a624b73"></a><!-- doxytag: member="QuantLib::DiscretizedOption::postAdjustValuesImpl" ref="a85429fd2334469ecf405ecf57a624b73" args="()" -->
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<td class="memname">void <a class="el" href="class_quant_lib_1_1_discretized_option.html#a85429fd2334469ecf405ecf57a624b73">postAdjustValuesImpl</a> </td>
<td>(</td>
<td class="paramname"></td><td>)</td>
<td><code> [protected, virtual]</code></td>
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<p>This method performs the actual post-adjustment </p>
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_discretized_asset.html#a371a4f1247c8ff3fc41d288a3ab3164a">DiscretizedAsset</a>.</p>
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