bermudanexercise(3)

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

Generated automatically by Doxygen for QuantLib from the source code.