QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
AmericanExercise Class Reference

American exercise. More...

#include <ql/exercise.hpp>

+ Inheritance diagram for AmericanExercise:

Public Member Functions

 AmericanExercise (const Date &earliestDate, const Date &latestDate, bool payoffAtExpiry=false)
 
 AmericanExercise (const Date &latestDate, 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< Datedates_
 
Type type_
 

Detailed Description

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.

Examples
ConvertibleBonds.cpp, and EquityOption.cpp.