org.jquantlib.pricingengines.hybrid

Class DiscretizedConvertible

java.lang.Object

org.jquantlib.instruments.DiscretizedAsset

org.jquantlib.pricingengines.hybrid.DiscretizedConvertible

public class DiscretizedConvertible
extends DiscretizedAsset

Discretized Convertible

Constructor Summary

Constructors

Constructor and Description
DiscretizedConvertible(ConvertibleBondOption.ArgumentsImpl arguments, GeneralizedBlackScholesProcess process, TimeGrid grid)

Method Summary

Modifier and Type	Method and Description
void	addCoupon(int i)
Array	adjustedGrid()
void	applyCallability(int i, boolean convertible)
void	applyConvertibility()
Array	conversionProbability()
Array	dividendValues()
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	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	setConversionProbability(Array a)
void	setDividendValues(Array a)
void	setSpreadAdjustedRate(Array a)
Array	spreadAdjustedRate()

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

DiscretizedConvertible

public DiscretizedConvertible(ConvertibleBondOption.ArgumentsImpl arguments,
                              GeneralizedBlackScholesProcess process,
                              TimeGrid grid)

Method Detail

conversionProbability

public final Array conversionProbability()

spreadAdjustedRate

public final Array spreadAdjustedRate()

dividendValues

public final Array dividendValues()

setConversionProbability

public final void setConversionProbability(Array a)

setSpreadAdjustedRate

public final void setSpreadAdjustedRate(Array a)

setDividendValues

public final void setDividendValues(Array a)

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

applyConvertibility

public void applyConvertibility()

applyCallability

public void applyCallability(int i,
                             boolean convertible)

addCoupon

public void addCoupon(int i)

adjustedGrid

public Array adjustedGrid()

reset

public 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.

Specified by:

reset in class DiscretizedAsset