American exercise. More...
#include <ql/exercise.hpp>
Public Member Functions | |
AmericanExercise (const Date &earliestDate, const Date &latestDate, bool payoffAtExpiry=false) | |
AmericanExercise (const Date &latestDate, bool payoffAtExpiry=false) | |
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EarlyExercise (Type type, bool payoffAtExpiry=false) | |
bool | payoffAtExpiry () const |
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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 | |
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enum | Type { American, Bermudan, European } |
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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.