org.jquantlib.instruments

Class DiscretizedOption

java.lang.Object

org.jquantlib.instruments.DiscretizedAsset

org.jquantlib.instruments.DiscretizedOption

public class DiscretizedOption
extends DiscretizedAsset

Discretized option on a given asset

Constructor Summary

Constructors

Constructor and Description
DiscretizedOption(DiscretizedAsset underlying, Exercise.Type exerciseType, Array exerciseTimes)

Method Summary

Modifier and Type	Method and Description
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	postAdjustValuesImpl() This method performs the actual post-adjustment
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.

Methods inherited from class org.jquantlib.instruments.DiscretizedAsset

adjustValues, initialize, method, partialRollback, postAdjustValues, preAdjustValues, presentValue, rollback, setTime, setValues, time, values

Methods inherited from class java.lang.Object

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

Constructor Detail

DiscretizedOption

public DiscretizedOption(DiscretizedAsset underlying,
                         Exercise.Type exerciseType,
                         Array exerciseTimes)

Method Detail

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

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

postAdjustValuesImpl

public void postAdjustValuesImpl()

Description copied from class: DiscretizedAsset

This method performs the actual post-adjustment

This method is left to be overridden by extended classes