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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_double_barrier_option.html">DiscretizedDoubleBarrierOption</a></li> </ul>
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<a href="#pub-methods">Public Member Functions</a> |
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<p>Standard discretized option helper class.
<a href="class_quant_lib_1_1_discretized_double_barrier_option.html#details">More...</a></p>
<p><code>#include <ql/experimental/barrieroption/discretizeddoublebarrieroption.hpp></code></p>
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<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for DiscretizedDoubleBarrierOption:</div>
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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>
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 </td><td class="memItemRight" valign="bottom"><b>DiscretizedDoubleBarrierOption</b> (const <a class="el" href="class_quant_lib_1_1_double_barrier_option_1_1arguments.html">DoubleBarrierOption::arguments</a> &, const <a class="el" href="class_quant_lib_1_1_stochastic_process.html">StochasticProcess</a> &process, const <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> &grid=<a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a>())</td></tr>
<tr class="separator:a9cda02ec3ab20755e0e11bcaca079ac4"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a1142d869230e14e04fc5d755b9b15e52"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_discretized_double_barrier_option.html#a1142d869230e14e04fc5d755b9b15e52">reset</a> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> size)</td></tr>
<tr class="separator:a1142d869230e14e04fc5d755b9b15e52"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a6250cd1b83c1c62728488ac2edcf567a"><td class="memItemLeft" align="right" valign="top"><a id="a6250cd1b83c1c62728488ac2edcf567a"></a>
const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> & </td><td class="memItemRight" valign="bottom"><b>vanilla</b> () const</td></tr>
<tr class="separator:a6250cd1b83c1c62728488ac2edcf567a"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a7a396764cfa6034579249667a4d7076b"><td class="memItemLeft" align="right" valign="top"><a id="a7a396764cfa6034579249667a4d7076b"></a>
const <a class="el" href="class_quant_lib_1_1_double_barrier_option_1_1arguments.html">DoubleBarrierOption::arguments</a> & </td><td class="memItemRight" valign="bottom"><b>arguments</b> () const</td></tr>
<tr class="separator:a7a396764cfa6034579249667a4d7076b"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a2ecc69212d2f9e4a7f4c1e6d8c58bee8"><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_double_barrier_option.html#a2ecc69212d2f9e4a7f4c1e6d8c58bee8">mandatoryTimes</a> () const</td></tr>
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<tr class="memitem:a1e038e0951019a346471bf05d7317787"><td class="memItemLeft" align="right" valign="top"><a id="a1e038e0951019a346471bf05d7317787"></a>
void </td><td class="memItemRight" valign="bottom"><b>checkBarrier</b> (<a class="el" href="class_quant_lib_1_1_array.html">Array</a> &optvalues, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &grid) const</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_discretized_asset"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_discretized_asset')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_discretized_asset.html">DiscretizedAsset</a></td></tr>
<tr class="memitem:a07ca48d6982742d58e0dbfd2975c33dc inherit pub_methods_class_quant_lib_1_1_discretized_asset"><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>
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<tr class="memitem:a252c914b2d10cfe6e7d555128185d5d7 inherit pub_methods_class_quant_lib_1_1_discretized_asset"><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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<tr class="memitem:abe4a43df1e8460232cd5eea87360f66a inherit pub_methods_class_quant_lib_1_1_discretized_asset"><td class="memItemLeft" align="right" valign="top"><a id="abe4a43df1e8460232cd5eea87360f66a"></a>
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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<tr class="memitem:aa3153146194de0ef429000ccd8c7eb25 inherit pub_methods_class_quant_lib_1_1_discretized_asset"><td class="memItemLeft" align="right" valign="top"><a id="aa3153146194de0ef429000ccd8c7eb25"></a>
<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:aa3153146194de0ef429000ccd8c7eb25 inherit pub_methods_class_quant_lib_1_1_discretized_asset"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ae0129ceceda8730b011843ad2565336d inherit pub_methods_class_quant_lib_1_1_discretized_asset"><td class="memItemLeft" align="right" valign="top"><a id="ae0129ceceda8730b011843ad2565336d"></a>
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>
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<tr class="memitem:aece5bde16d062f02bf17f71b55199c7c inherit pub_methods_class_quant_lib_1_1_discretized_asset"><td class="memItemLeft" align="right" valign="top"><a id="aece5bde16d062f02bf17f71b55199c7c"></a>
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>
<tr class="separator:aece5bde16d062f02bf17f71b55199c7c inherit pub_methods_class_quant_lib_1_1_discretized_asset"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aef4cbc1d4c3994be66cc8b8a943e5151 inherit pub_methods_class_quant_lib_1_1_discretized_asset"><td class="memItemLeft" align="right" valign="top"><a id="aef4cbc1d4c3994be66cc8b8a943e5151"></a>
void </td><td class="memItemRight" valign="bottom"><b>rollback</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> to)</td></tr>
<tr class="separator:aef4cbc1d4c3994be66cc8b8a943e5151 inherit pub_methods_class_quant_lib_1_1_discretized_asset"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aa2f3ac04333282912860221a3b90e23b inherit pub_methods_class_quant_lib_1_1_discretized_asset"><td class="memItemLeft" align="right" valign="top"><a id="aa2f3ac04333282912860221a3b90e23b"></a>
void </td><td class="memItemRight" valign="bottom"><b>partialRollback</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> to)</td></tr>
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<tr class="memitem:a6c08e31d5f5a5d45b311bae8c7f4b0f2 inherit pub_methods_class_quant_lib_1_1_discretized_asset"><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 inherit pub_methods_class_quant_lib_1_1_discretized_asset"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a550c12c68b9f731f0017dd8f826c7afa inherit pub_methods_class_quant_lib_1_1_discretized_asset"><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 inherit pub_methods_class_quant_lib_1_1_discretized_asset"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a5c6657e78e9d0771e7df6761853e2042 inherit pub_methods_class_quant_lib_1_1_discretized_asset"><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 inherit pub_methods_class_quant_lib_1_1_discretized_asset"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a3fd0b540d11b207a4dffcac657330b3d inherit pub_methods_class_quant_lib_1_1_discretized_asset"><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 inherit pub_methods_class_quant_lib_1_1_discretized_asset"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
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Protected Member Functions</h2></td></tr>
<tr class="memitem:a85429fd2334469ecf405ecf57a624b73"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_discretized_double_barrier_option.html#a85429fd2334469ecf405ecf57a624b73">postAdjustValuesImpl</a> ()</td></tr>
<tr class="separator:a85429fd2334469ecf405ecf57a624b73"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pro_methods_class_quant_lib_1_1_discretized_asset"><td colspan="2" onclick="javascript:toggleInherit('pro_methods_class_quant_lib_1_1_discretized_asset')"><img src="closed.png" alt="-"/> Protected Member Functions inherited from <a class="el" href="class_quant_lib_1_1_discretized_asset.html">DiscretizedAsset</a></td></tr>
<tr class="memitem:a339ca58dd593d1875feabf05053f1370 inherit pro_methods_class_quant_lib_1_1_discretized_asset"><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 inherit pro_methods_class_quant_lib_1_1_discretized_asset"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a1cd0989529ea6494ee706dd772506455 inherit pro_methods_class_quant_lib_1_1_discretized_asset"><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>
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Additional Inherited Members</h2></td></tr>
<tr class="inherit_header pro_attribs_class_quant_lib_1_1_discretized_asset"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_discretized_asset')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_discretized_asset.html">DiscretizedAsset</a></td></tr>
<tr class="memitem:ae97b689c7df7487279f31ab5af9b3762 inherit pro_attribs_class_quant_lib_1_1_discretized_asset"><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>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>Standard discretized option helper class. </p>
<p>This class is used with the <a class="el" href="class_quant_lib_1_1_binomial_double_barrier_engine.html" title="Pricing engine for double barrier options using binomial trees.">BinomialDoubleBarrierEngine</a> to implement a standard binomial algorithm for double barrier options </p>
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<h2 class="memtitle"><span class="permalink"><a href="#a1142d869230e14e04fc5d755b9b15e52">◆ </a></span>reset()</h2>
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<td class="memname">void reset </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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<h2 class="memtitle"><span class="permalink"><a href="#a2ecc69212d2f9e4a7f4c1e6d8c58bee8">◆ </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>Implements <a class="el" href="class_quant_lib_1_1_discretized_asset.html#ace8de2f1297ce9bfbfb64cdf13f98ddc">DiscretizedAsset</a>.</p>
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<h2 class="memtitle"><span class="permalink"><a href="#a85429fd2334469ecf405ecf57a624b73">◆ </a></span>postAdjustValuesImpl()</h2>
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<td class="memname">void postAdjustValuesImpl </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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