QuantLib_AmericanExercise (3) - Linux Manuals

QuantLib_AmericanExercise: American exercise.

Command to display QuantLib_AmericanExercise manual in Linux: $ man 3 QuantLib_AmericanExercise

NAME

QuantLib::AmericanExercise - American exercise.

SYNOPSIS

#include <ql/exercise.hpp>

Inherits QuantLib::EarlyExercise.

Public Member Functions

AmericanExercise (const Date &earliestDate, const Date &latestDate, bool payoffAtExpiry=false)

AmericanExercise (const Date &latestDate, bool payoffAtExpiry=false)

Detailed Description

American exercise.

An American option can be exercised at any time between two predefined dates; the first date might be omitted, in which case the option can be exercised at any time before the expiry.

Possible enhancements

: check that everywhere the American condition is applied from earliestDate and not earlier

Examples:

ConvertibleBonds.cpp, and EquityOption.cpp.

Author

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