FdBermudanOption Class Reference

#include <ql/Pricers/fdbermudanoption.hpp>

List of all members.


Detailed Description

Bermudan option.


Public Member Functions

 FdBermudanOption (Option::Type type, Real underlying, Real strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, Volatility volatility, const std::vector< Time > &dates=std::vector< Time >(), Size timeSteps=100, Size gridPoints=100)
boost::shared_ptr< SingleAssetOptionclone () const

Protected Member Functions

void initializeStepCondition () const
void executeIntermediateStep (Size) const

Protected Attributes

Real extraTermInBermudan


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