AmericanExercise Class Reference

#include <ql/exercise.hpp>

Inheritance diagram for AmericanExercise:

List of all members.


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.

Possible enhancements:
check that everywhere the American condition is applied from earliestDate and not earlier
Examples:

ConvertibleBonds.cpp, and EquityOption.cpp.


Public Member Functions

 AmericanExercise (const Date &earliestDate, const Date &latestDate, bool payoffAtExpiry=false)
 AmericanExercise (const Date &latestDate, bool payoffAtExpiry=false)