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) |
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: