DiscretizedVanillaOption::DiscretizedVanillaOption(
const VanillaOption::arguments& args,
const StochasticProcess& process,
const TimeGrid& grid)
: arguments_(args) {
stoppingTimes_.resize(args.exercise->dates().size());
for (Size i=0; i<stoppingTimes_.size(); ++i) {
stoppingTimes_[i] =
process.time(args.exercise->date(i));
if (!grid.empty()) {
// adjust to the given grid
stoppingTimes_[i] = grid.closestTime(stoppingTimes_[i]);
}
}
}
DiscretizedBarrierOption::DiscretizedBarrierOption(
const BarrierOption::arguments& args,
const StochasticProcess& process,
const TimeGrid& grid)
: arguments_(args), vanilla_(arguments_, process, grid) {
QL_REQUIRE(args.exercise->dates().size(), "specify at least one stopping date");
stoppingTimes_.resize(args.exercise->dates().size());
for (Size i=0; i<stoppingTimes_.size(); ++i) {
stoppingTimes_[i] =
process.time(args.exercise->date(i));
if (!grid.empty()) {
// adjust to the given grid
stoppingTimes_[i] = grid.closestTime(stoppingTimes_[i]);
}
}
}
