BermudanExercise Class Reference

Bermudan exercise. More...

#include <ql/exercise.hpp>

Inheritance diagram for BermudanExercise:

List of all members.

Public Member Functions

 BermudanExercise (const std::vector< Date > &dates, bool payoffAtExpiry=false)


Detailed Description

Bermudan exercise.

A Bermudan option can only be exercised at a set of fixed dates.

Examples:

BermudanSwaption.cpp, and EquityOption.cpp.