QuantLib_AmericanExercise man page

AmericanExercise — American exercise.


#include <ql/exercise.hpp>

Inherits EarlyExercise.

Public Member Functions

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

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

Additional Inherited 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.

Examples: ConvertibleBonds.cpp, and EquityOption.cpp.


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Referenced By

AmericanExercise(3) is an alias of QuantLib_AmericanExercise(3).

QuantLib Version 1.8.1 Fri Sep 23 2016