org.jquantlib.instruments

Class DiscretizedAsset

java.lang.Object

org.jquantlib.instruments.DiscretizedAsset

Direct Known Subclasses:

DiscretizedConvertible, DiscretizedDiscountBond, DiscretizedOption, DiscretizedVanillaOption

public abstract class DiscretizedAsset
extends java.lang.Object

Discretized asset class used by numerical methods

Constructor Summary

Constructors

Constructor and Description
DiscretizedAsset()

Method Summary

Modifier and Type	Method and Description
void	adjustValues() This method performs both pre- and post-adjustment
void	initialize(Lattice method, double t)
abstract java.util.List<java.lang.Double>	mandatoryTimes() This method returns the times at which the numerical method should stop while rolling back the asset.
Lattice	method()
void	partialRollback(double to)
void	postAdjustValues() This method will be invoked after rollback and after any other asset had their chance to look at the values.
void	preAdjustValues() 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.
double	presentValue()
abstract void	reset(int size) This method should initialize the asset values to an Array of the given size and with values depending on the particular asset.
void	rollback(double to)
void	setTime(double t)
void	setValues(Array newValues)
double	time()
Array	values()

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

DiscretizedAsset

public DiscretizedAsset()

Method Detail

time

public double time()

setTime

public void setTime(double t)

values

public Array values()

method

public Lattice method()

initialize

public void initialize(Lattice method,
                       double t)

rollback

public void rollback(double to)

partialRollback

public void partialRollback(double to)

presentValue

public double presentValue()

reset

public abstract void reset(int size)

This method should initialize the asset values to an Array of the given size and with values depending on the particular asset.

mandatoryTimes

public abstract java.util.List<java.lang.Double> mandatoryTimes()

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.

preAdjustValues

public void preAdjustValues()

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.

This method is not virtual; derived classes must override the protected preAdjustValuesImpl() method instead.

postAdjustValues

public void postAdjustValues()

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.

This method is not virtual; derived classes must override the protected postAdjustValuesImpl() method instead.

adjustValues

public void adjustValues()

This method performs both pre- and post-adjustment

setValues

public void setValues(Array newValues)