org.jquantlib.pricingengines.vanilla

Class DiscretizedVanillaOption

java.lang.Object

org.jquantlib.instruments.DiscretizedAsset

org.jquantlib.pricingengines.vanilla.DiscretizedVanillaOption

public class DiscretizedVanillaOption
extends DiscretizedAsset

Discretized vanilla option

Constructor Summary

Constructors

Constructor and Description
DiscretizedVanillaOption(OneAssetOption.Arguments arguments, StochasticProcess process)
DiscretizedVanillaOption(OneAssetOption.Arguments arguments, StochasticProcess process, TimeGrid grid)

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	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

DiscretizedVanillaOption

public DiscretizedVanillaOption(OneAssetOption.Arguments arguments,
                                StochasticProcess process)

DiscretizedVanillaOption

public DiscretizedVanillaOption(OneAssetOption.Arguments arguments,
                                StochasticProcess process,
                                TimeGrid grid)

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