org.jquantlib.instruments

Class DiscretizedDiscountBond

java.lang.Object

org.jquantlib.instruments.DiscretizedAsset

org.jquantlib.instruments.DiscretizedDiscountBond

public class DiscretizedDiscountBond
extends DiscretizedAsset

Useful discretized discount bond asset

Constructor Summary

Constructors

Constructor and Description
DiscretizedDiscountBond()

Method Summary

Modifier and Type	Method and Description
void	initialize(Lattice lt, double t)
java.util.List<java.lang.Double>	mandatoryTimes() This method returns the times at which the numerical method should stop while rolling back the asset.
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()
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)

Methods inherited from class org.jquantlib.instruments.DiscretizedAsset

adjustValues, method, setTime, setValues, time, values

Methods inherited from class java.lang.Object

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

Constructor Detail

DiscretizedDiscountBond

public DiscretizedDiscountBond()

Method Detail

initialize

public void initialize(Lattice lt,
                       double t)

Overrides:

initialize in class DiscretizedAsset

mandatoryTimes

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

Description copied from class: DiscretizedAsset

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.

Specified by:

mandatoryTimes in class DiscretizedAsset

partialRollback

public void partialRollback(double to)

Overrides:

partialRollback in class DiscretizedAsset

postAdjustValues

public void postAdjustValues()

Description copied from class: DiscretizedAsset

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.

Overrides:

postAdjustValues in class DiscretizedAsset

preAdjustValues

public void preAdjustValues()

Description copied from class: DiscretizedAsset

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.

Overrides:

preAdjustValues in class DiscretizedAsset

presentValue

public double presentValue()

Overrides:

presentValue in class DiscretizedAsset

reset

public void reset(int size)

Description copied from class: DiscretizedAsset

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

Specified by:

reset in class DiscretizedAsset

rollback

public void rollback(double to)

Overrides:

rollback in class DiscretizedAsset