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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