Bermudan exercise. More...
#include <exercise.hpp>
Inheritance diagram for BermudanExercise:
Collaboration 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) | |
| 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_ |
Detailed Description
Bermudan exercise.
A Bermudan option can only be exercised at a set of fixed dates.
Definition at line 87 of file exercise.hpp.
Constructor & Destructor Documentation
◆ BermudanExercise()
| BermudanExercise | ( | const std::vector< Date > & | dates, |
| bool | payoffAtExpiry = false |
||
| ) |
