QuantLib_AmericanExercise (3) - Linux Man Pages
QuantLib_AmericanExercise: American exercise.
QuantLib::AmericanExercise - American exercise.
Public Member Functions
AmericanExercise (const Date &earliestDate, const Date &latestDate, bool payoffAtExpiry=false)
AmericanExercise (const Date &latestDate, bool payoffAtExpiry=false)
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.
- check that everywhere the American condition is applied from earliestDate and not earlier
ConvertibleBonds.cpp, and EquityOption.cpp.
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