ShoutCondition (3) - Linux Manuals

ShoutCondition: Shout option condition.

NAME

QuantLib::ShoutCondition - Shout option condition.

SYNOPSIS

#include <ql/methods/finitedifferences/shoutcondition.hpp>

Inherits QuantLib::CurveDependentStepCondition< Array >.

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

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.

Author

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