Early-exercise base class. More...
#include <exercise.hpp>
Inheritance diagram for EarlyExercise:
Collaboration diagram for EarlyExercise:
Public Member Functions | |
| 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 | |
| bool | payoffAtExpiry_ |
Additional Inherited Members | |
| Public Types inherited from Exercise | |
| enum | Type { American , Bermudan , European } |
| Protected Attributes inherited from Exercise | |
| std::vector< Date > | dates_ |
| Type | type_ |
Detailed Description
Early-exercise base class.
The payoff can be at exercise (the default) or at expiry
Definition at line 57 of file exercise.hpp.
Constructor & Destructor Documentation
◆ EarlyExercise()
| EarlyExercise | ( | Type | type, |
| bool | payoffAtExpiry = false |
||
| ) |
Definition at line 59 of file exercise.hpp.
Member Function Documentation
◆ payoffAtExpiry()
| bool payoffAtExpiry | ( | ) | const |
Definition at line 62 of file exercise.hpp.
Member Data Documentation
◆ payoffAtExpiry_
|
private |
Definition at line 64 of file exercise.hpp.