ShoutCondition Class Reference

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
 
- Public Member Functions inherited from CurveDependentStepCondition< array_type >
void applyTo (Array &a, Time) const
 
- Public Member Functions inherited from StepCondition< array_type >
virtual void applyTo (array_type &a, Time t) const =0
 

Additional Inherited Members

- Protected Member Functions inherited from CurveDependentStepCondition< array_type >
 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
 
- Protected Attributes inherited from CurveDependentStepCondition< array_type >
boost::shared_ptr< CurveWrapper > curveItem_
 

Detailed Description

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.