QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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American exercise. More...
#include <exercise.hpp>
Public Member Functions | |
AmericanExercise (const Date &earliestDate, const Date &latestDate, bool payoffAtExpiry=false) | |
AmericanExercise (const Date &latestDate, 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 |
Additional Inherited Members | |
Public Types inherited from Exercise | |
enum | Type { American , Bermudan , European } |
Protected Attributes inherited from Exercise | |
std::vector< Date > | dates_ |
Type | type_ |
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.
Definition at line 75 of file exercise.hpp.
AmericanExercise | ( | const Date & | earliestDate, |
const Date & | latestDate, | ||
bool | payoffAtExpiry = false |
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Definition at line 33 of file exercise.cpp.
AmericanExercise | ( | const Date & | latestDate, |
bool | payoffAtExpiry = false |
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