Bermudan exercise. More...
#include <ql/exercise.hpp>
Inheritance diagram for BermudanExercise:Public Member Functions | |
| 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) | |
| Type | type () const |
| Date | date (Size index) const |
| Date | dateAt (Size index) const |
| const std::vector< Date > & | dates () const |
| Returns all exercise dates. | |
| 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_ |
Bermudan exercise.
A Bermudan option can only be exercised at a set of fixed dates.