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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_discretized_asset.html">DiscretizedAsset</a></li> </ul>
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<div class="title">DiscretizedAsset Class Reference<span class="mlabels"><span class="mlabel">abstract</span></span></div> </div>
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<p>Discretized asset class used by numerical methods.
<a href="class_quant_lib_1_1_discretized_asset.html#details">More...</a></p>
<p><code>#include <ql/discretizedasset.hpp></code></p>
<div id="dynsection-0" onclick="return toggleVisibility(this)" class="dynheader closed" style="cursor:pointer;">
<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for DiscretizedAsset:</div>
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<area shape="rect" title="Discretized asset class used by numerical methods." alt="" coords="5,101,128,127"/>
<area shape="rect" href="class_quant_lib_1_1_discretized_derman_kani_double_barrier_option.html" title="Derman-Kani-Ergener-Bardhan discretized option helper class." alt="" coords="176,5,377,47"/>
<area shape="rect" href="class_quant_lib_1_1_discretized_discount_bond.html" title="Useful discretized discount bond asset." alt="" coords="191,71,362,98"/>
<area shape="rect" href="class_quant_lib_1_1_discretized_double_barrier_option.html" title="Standard discretized option helper class." alt="" coords="193,123,360,164"/>
<area shape="rect" href="class_quant_lib_1_1_discretized_option.html" title="Discretized option on a given asset." alt="" coords="213,189,340,215"/>
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<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td colspan="2"><div class="groupHeader">inspectors</div></td></tr>
<tr class="memitem:a07ca48d6982742d58e0dbfd2975c33dc"><td class="memItemLeft" align="right" valign="top"><a id="a07ca48d6982742d58e0dbfd2975c33dc"></a>
<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td><td class="memItemRight" valign="bottom"><b>time</b> () const</td></tr>
<tr class="separator:a07ca48d6982742d58e0dbfd2975c33dc"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a252c914b2d10cfe6e7d555128185d5d7"><td class="memItemLeft" align="right" valign="top"><a id="a252c914b2d10cfe6e7d555128185d5d7"></a>
<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> & </td><td class="memItemRight" valign="bottom"><b>time</b> ()</td></tr>
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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>
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<a class="el" href="class_quant_lib_1_1_array.html">Array</a> & </td><td class="memItemRight" valign="bottom"><b>values</b> ()</td></tr>
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const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_lattice.html">Lattice</a> > & </td><td class="memItemRight" valign="bottom"><b>method</b> () const</td></tr>
<tr class="separator:ae0129ceceda8730b011843ad2565336d"><td class="memSeparator" colspan="2"> </td></tr>
<tr><td colspan="2"><div class="groupHeader">High-level interface</div></td></tr>
<tr><td colspan="2"><div class="groupText"><p>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 <a class="el" href="class_quant_lib_1_1_lattice.html" title="Lattice (tree, finite-differences) base class">Lattice</a> interface, to which we refer for documentation. </p>
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void </td><td class="memItemRight" valign="bottom"><b>initialize</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_lattice.html">Lattice</a> > &, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t)</td></tr>
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void </td><td class="memItemRight" valign="bottom"><b>rollback</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> to)</td></tr>
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void </td><td class="memItemRight" valign="bottom"><b>partialRollback</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> to)</td></tr>
<tr class="separator:aa2f3ac04333282912860221a3b90e23b"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a6c08e31d5f5a5d45b311bae8c7f4b0f2"><td class="memItemLeft" align="right" valign="top"><a id="a6c08e31d5f5a5d45b311bae8c7f4b0f2"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>presentValue</b> ()</td></tr>
<tr class="separator:a6c08e31d5f5a5d45b311bae8c7f4b0f2"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="member-group"></a>
Low-level interface</h2></td></tr>
<tr><td class="ititle" colspan="2"><p><a class="anchor" id="amgrp7488076a19cba8b11ea501b8ea5632f5"></a>These methods (that developers should override when deriving from <a class="el" href="class_quant_lib_1_1_discretized_asset.html" title="Discretized asset class used by numerical methods.">DiscretizedAsset</a>) are to be used by numerical methods and not directly by users, with the exception of <a class="el" href="class_quant_lib_1_1_discretized_asset.html#a3fd0b540d11b207a4dffcac657330b3d">adjustValues()</a>, <a class="el" href="class_quant_lib_1_1_discretized_asset.html#a550c12c68b9f731f0017dd8f826c7afa">preAdjustValues()</a> and <a class="el" href="class_quant_lib_1_1_discretized_asset.html#a5c6657e78e9d0771e7df6761853e2042">postAdjustValues()</a> that can be used together with partialRollback(). </p>
</td></tr>
<tr class="memitem:ae97b689c7df7487279f31ab5af9b3762"><td class="memItemLeft" align="right" valign="top"><a id="ae97b689c7df7487279f31ab5af9b3762"></a>
<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td><td class="memItemRight" valign="bottom"><b>time_</b></td></tr>
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<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td><td class="memItemRight" valign="bottom"><b>latestPreAdjustment_</b></td></tr>
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<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td><td class="memItemRight" valign="bottom"><b>latestPostAdjustment_</b></td></tr>
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<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 class="separator:a99a3a78defaeab5ede226107da665b96"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a95238187618927d950bb01e363f772dd"><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_discretized_asset.html#a95238187618927d950bb01e363f772dd">reset</a> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> size)=0</td></tr>
<tr class="separator:a95238187618927d950bb01e363f772dd"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a550c12c68b9f731f0017dd8f826c7afa"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_discretized_asset.html#a550c12c68b9f731f0017dd8f826c7afa">preAdjustValues</a> ()</td></tr>
<tr class="separator:a550c12c68b9f731f0017dd8f826c7afa"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a5c6657e78e9d0771e7df6761853e2042"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_discretized_asset.html#a5c6657e78e9d0771e7df6761853e2042">postAdjustValues</a> ()</td></tr>
<tr class="separator:a5c6657e78e9d0771e7df6761853e2042"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a3fd0b540d11b207a4dffcac657330b3d"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_discretized_asset.html#a3fd0b540d11b207a4dffcac657330b3d">adjustValues</a> ()</td></tr>
<tr class="separator:a3fd0b540d11b207a4dffcac657330b3d"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ace8de2f1297ce9bfbfb64cdf13f98ddc"><td class="memItemLeft" align="right" valign="top">virtual 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_asset.html#ace8de2f1297ce9bfbfb64cdf13f98ddc">mandatoryTimes</a> () const =0</td></tr>
<tr class="separator:ace8de2f1297ce9bfbfb64cdf13f98ddc"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a339ca58dd593d1875feabf05053f1370"><td class="memItemLeft" align="right" valign="top">bool </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_discretized_asset.html#a339ca58dd593d1875feabf05053f1370">isOnTime</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t) const</td></tr>
<tr class="separator:a339ca58dd593d1875feabf05053f1370"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a1cd0989529ea6494ee706dd772506455"><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_discretized_asset.html#a1cd0989529ea6494ee706dd772506455">preAdjustValuesImpl</a> ()</td></tr>
<tr class="separator:a1cd0989529ea6494ee706dd772506455"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a371a4f1247c8ff3fc41d288a3ab3164a"><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_discretized_asset.html#a371a4f1247c8ff3fc41d288a3ab3164a">postAdjustValuesImpl</a> ()</td></tr>
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</table>
<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>Discretized asset class used by numerical methods. </p>
</div><h2 class="groupheader">Member Function Documentation</h2>
<a id="a95238187618927d950bb01e363f772dd"></a>
<h2 class="memtitle"><span class="permalink"><a href="#a95238187618927d950bb01e363f772dd">◆ </a></span>reset()</h2>
<div class="memitem">
<div class="memproto">
<table class="mlabels">
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<td class="mlabels-left">
<table class="memname">
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<td class="memname">virtual void reset </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></td>
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<td class="mlabels-right">
<span class="mlabels"><span class="mlabel">pure virtual</span></span> </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>Implemented in <a class="el" href="class_quant_lib_1_1_discretized_derman_kani_double_barrier_option.html#a1142d869230e14e04fc5d755b9b15e52">DiscretizedDermanKaniDoubleBarrierOption</a>, <a class="el" href="class_quant_lib_1_1_discretized_double_barrier_option.html#a1142d869230e14e04fc5d755b9b15e52">DiscretizedDoubleBarrierOption</a>, <a class="el" href="class_quant_lib_1_1_discretized_option.html#a1142d869230e14e04fc5d755b9b15e52">DiscretizedOption</a>, and <a class="el" href="class_quant_lib_1_1_discretized_discount_bond.html#a1142d869230e14e04fc5d755b9b15e52">DiscretizedDiscountBond</a>.</p>
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<h2 class="memtitle"><span class="permalink"><a href="#a550c12c68b9f731f0017dd8f826c7afa">◆ </a></span>preAdjustValues()</h2>
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<td class="memname">void preAdjustValues </td>
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<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>
<p>This method is not virtual; derived classes must override the protected <a class="el" href="class_quant_lib_1_1_discretized_asset.html#a1cd0989529ea6494ee706dd772506455">preAdjustValuesImpl()</a> method instead. </p>
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<h2 class="memtitle"><span class="permalink"><a href="#a5c6657e78e9d0771e7df6761853e2042">◆ </a></span>postAdjustValues()</h2>
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<td class="memname">void postAdjustValues </td>
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<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>
<p>This method is not virtual; derived classes must override the protected <a class="el" href="class_quant_lib_1_1_discretized_asset.html#a371a4f1247c8ff3fc41d288a3ab3164a">postAdjustValuesImpl()</a> method instead. </p>
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<h2 class="memtitle"><span class="permalink"><a href="#a3fd0b540d11b207a4dffcac657330b3d">◆ </a></span>adjustValues()</h2>
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<td class="memname">void adjustValues </td>
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<p>This method performs both pre- and post-adjustment </p>
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<h2 class="memtitle"><span class="permalink"><a href="#ace8de2f1297ce9bfbfb64cdf13f98ddc">◆ </a></span>mandatoryTimes()</h2>
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<td class="memname">virtual std::vector<<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a>> mandatoryTimes </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="section note"><dt>Note</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_derman_kani_double_barrier_option.html#a264dde8c964461f44e642bc6ae8fb0e0">DiscretizedDermanKaniDoubleBarrierOption</a>, <a class="el" href="class_quant_lib_1_1_discretized_double_barrier_option.html#a2ecc69212d2f9e4a7f4c1e6d8c58bee8">DiscretizedDoubleBarrierOption</a>, <a class="el" href="class_quant_lib_1_1_discretized_option.html#aae856b92cb2af7c60d7ba1bbaa626cf1">DiscretizedOption</a>, and <a class="el" href="class_quant_lib_1_1_discretized_discount_bond.html#a264dde8c964461f44e642bc6ae8fb0e0">DiscretizedDiscountBond</a>.</p>
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<h2 class="memtitle"><span class="permalink"><a href="#a339ca58dd593d1875feabf05053f1370">◆ </a></span>isOnTime()</h2>
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<td class="memname">bool isOnTime </td>
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<p>This method checks whether the asset was rolled at the given time. </p>
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<h2 class="memtitle"><span class="permalink"><a href="#a1cd0989529ea6494ee706dd772506455">◆ </a></span>preAdjustValuesImpl()</h2>
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<td class="memname">virtual void preAdjustValuesImpl </td>
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<p>This method performs the actual pre-adjustment </p>
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<h2 class="memtitle"><span class="permalink"><a href="#a371a4f1247c8ff3fc41d288a3ab3164a">◆ </a></span>postAdjustValuesImpl()</h2>
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<td class="memname">virtual void postAdjustValuesImpl </td>
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<p>This method performs the actual post-adjustment </p>
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_discretized_derman_kani_double_barrier_option.html#a85429fd2334469ecf405ecf57a624b73">DiscretizedDermanKaniDoubleBarrierOption</a>, <a class="el" href="class_quant_lib_1_1_discretized_double_barrier_option.html#a85429fd2334469ecf405ecf57a624b73">DiscretizedDoubleBarrierOption</a>, and <a class="el" href="class_quant_lib_1_1_discretized_option.html#a85429fd2334469ecf405ecf57a624b73">DiscretizedOption</a>.</p>
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