QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
Public Member Functions | List of all members
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
 

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.