BermudanExercise Class Reference

#include <ql/exercise.hpp>

Inheritance diagram for BermudanExercise:

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Detailed Description

Bermudan exercise.

A Bermudan option can only be exercised at a set of fixed dates.

Todo:
it would be nice to have a way for making a Bermudan with one exercise date equivalent to an European


Public Member Functions

 BermudanExercise (const std::vector< Date > &dates, bool payoffAtExpiry=false)


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