Shout option condition. More...
#include <ql/methods/finitedifferences/shoutcondition.hpp>
Inherits CurveDependentStepCondition< array_type >.
Public Member Functions | |
ShoutCondition (Option::Type type, Real strike, Time resTime, Rate rate) | |
ShoutCondition (const Array &intrinsicValues, Time resTime, Rate rate) | |
void | applyTo (Array &a, Time t) const |
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void | applyTo (Array &a, Time) const |
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virtual void | applyTo (array_type &a, Time t) const =0 |
Additional Inherited Members | |
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CurveDependentStepCondition (Option::Type type, Real strike) | |
CurveDependentStepCondition (const Payoff *p) | |
CurveDependentStepCondition (const array_type &a) | |
Real | getValue (const array_type &a, Size index) const |
virtual Real | applyToValue (Real, Real) const |
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boost::shared_ptr< CurveWrapper > | curveItem_ |
Shout option condition.
A shout option is an option where the holder has the right to lock in a minimum value for the payoff at one (shout) time during the option's life. The minimum value is the option's intrinsic value at the shout time.