BermudanExercise (3) - Linux Manuals

BermudanExercise: Bermudan exercise.

NAME

QuantLib::BermudanExercise - Bermudan exercise.

SYNOPSIS

#include <ql/exercise.hpp>

Inherits QuantLib::EarlyExercise.

Public Member Functions

BermudanExercise (const std::vector< Date > &dates, bool payoffAtExpiry=false)

Detailed Description

Bermudan exercise.

A Bermudan option can only be exercised at a set of fixed dates.

Examples:

BermudanSwaption.cpp, and EquityOption.cpp.

Author

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