FdBermudanOption Class Reference#include <ql/Pricers/fdbermudanoption.hpp>
Inheritance diagram for FdBermudanOption:
[legend]List of all members.
Detailed Description
Bermudan option.
- Deprecated:
- use DividendVanillaOption with FDBermudanEngine instead
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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< SingleAssetOption > | clone () const |
Protected Member Functions |
void | initializeStepCondition () const |
void | executeIntermediateStep (Size) const |
Protected Attributes |
Real | extraTermInBermudan |
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