FdBermudanOption Class Reference

#include <ql/Pricers/fdbermudanoption.hpp>

Inheritance diagram for FdBermudanOption:

Inheritance graph
[legend]
List of all members.

Detailed Description

Bermudan option.

Deprecated:
use DividendVanillaOption with FDBermudanEngine instead


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


QuantLib.org
QuantLib
Hosted by
SourceForge.net Logo
Documentation generated by
doxygen