Derman-Kani-Ergener-Bardhan discretized option helper class. More...
#include <ql/experimental/barrieroption/discretizeddoublebarrieroption.hpp>
Public Member Functions | |
DiscretizedDermanKaniDoubleBarrierOption (const DoubleBarrierOption::arguments &, const StochasticProcess &process, const TimeGrid &grid=TimeGrid()) | |
void | reset (Size size) |
std::vector< Time > | mandatoryTimes () const |
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Time | time () const |
Time & | time () |
const Array & | values () const |
Array & | values () |
const boost::shared_ptr< Lattice > & | method () const |
void | initialize (const boost::shared_ptr< Lattice > &, Time t) |
void | rollback (Time to) |
void | partialRollback (Time to) |
Real | presentValue () |
void | preAdjustValues () |
void | postAdjustValues () |
void | adjustValues () |
Protected Member Functions | |
void | postAdjustValuesImpl () |
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bool | isOnTime (Time t) const |
virtual void | preAdjustValuesImpl () |
Additional Inherited Members | |
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Time | time_ |
Time | latestPreAdjustment_ |
Time | latestPostAdjustment_ |
Array | values_ |
Derman-Kani-Ergener-Bardhan discretized option helper class.
This class is used with the BinomialDoubleBarrierEngine to implement the enhanced binomial algorithm of E.Derman, I.Kani, D.Ergener, I.Bardhan ("Enhanced Numerical Methods for Options with Barriers", 1995)
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virtual |
This method should initialize the asset values to an Array of the given size and with values depending on the particular asset.
Implements DiscretizedAsset.
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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.
Implements DiscretizedAsset.
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protectedvirtual |
This method performs the actual post-adjustment
Reimplemented from DiscretizedAsset.