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QuantLib_AmericanExercise
Langue: en
Version: 382050 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
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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Contenus ©2006-2024 Benjamin Poulain
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