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QuantLib_BermudanExercise
Langue: en
Version: 381770 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
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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Contenus ©2006-2024 Benjamin Poulain
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