QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Swing exercise. More...
#include <vanillaswingoption.hpp>
Public Member Functions | |
SwingExercise (const std::vector< Date > &dates, const std::vector< Size > &seconds=std::vector< Size >()) | |
SwingExercise (const Date &from, const Date &to, Size stepSizeSecs) | |
const std::vector< Size > & | seconds () const |
std::vector< Time > | exerciseTimes (const DayCounter &dc, const Date &refDate) const |
Public Member Functions inherited from BermudanExercise | |
BermudanExercise (const std::vector< Date > &dates, bool payoffAtExpiry=false) | |
Public Member Functions inherited from EarlyExercise | |
EarlyExercise (Type type, bool payoffAtExpiry=false) | |
bool | payoffAtExpiry () const |
Public Member Functions inherited from Exercise | |
Exercise (Type type) | |
virtual | ~Exercise ()=default |
Type | type () const |
Date | date (Size index) const |
Date | dateAt (Size index) const |
const std::vector< Date > & | dates () const |
Returns all exercise dates. More... | |
Date | lastDate () const |
Private Attributes | |
const std::vector< Size > | seconds_ |
Additional Inherited Members | |
Public Types inherited from Exercise | |
enum | Type { American , Bermudan , European } |
Protected Attributes inherited from Exercise | |
std::vector< Date > | dates_ |
Type | type_ |
Swing exercise.
A Swing option can only be exercised at a set of fixed date times
Definition at line 37 of file vanillaswingoption.hpp.
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explicit |
Definition at line 57 of file vanillaswingoption.cpp.
SwingExercise | ( | const Date & | from, |
const Date & | to, | ||
Size | stepSizeSecs | ||
) |
Definition at line 75 of file vanillaswingoption.cpp.
const std::vector< Size > & seconds | ( | ) | const |
std::vector< Time > exerciseTimes | ( | const DayCounter & | dc, |
const Date & | refDate | ||
) | const |
Definition at line 83 of file vanillaswingoption.cpp.
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private |
Definition at line 49 of file vanillaswingoption.hpp.