FdBermudanOption Class Reference

#include <fdbermudanoption.hpp>

List of all members.


Detailed Description

Bermudan option.


Public Member Functions

 FdBermudanOption (Option::Type type, double underlying, double strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, double volatility, const std::vector< Time > &dates=std::vector< Time >(), int timeSteps=100, int gridPoints=100)
Handle< SingleAssetOptionclone () const

Protected Member Functions

void initializeStepCondition () const
void executeIntermediateStep (int) const

Protected Attributes

double extraTermInBermudan


The documentation for this class was generated from the following files:

QuantLib.org
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