AmericanExercise (3) Linux Manual Page
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.