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fdbermudanoption.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/reference/license.html>.

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/

/*! \file fdbermudanoption.hpp
    \brief finite-difference evaluation of Bermudan option
*/

#ifndef quantlib_bermudan_option_pricer_h
#define quantlib_bermudan_option_pricer_h

#include <ql/Pricers/fdmultiperiodoption.hpp>

namespace QuantLib {

    #ifndef QL_DISABLE_DEPRECATED

    //! Bermudan option
    /*! \deprecated use DividendVanillaOption with FDBermudanEngine instead */
00035     class FdBermudanOption : public FdMultiPeriodOption {
      public:
        // constructor
        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:
        Real extraTermInBermudan ;
        void initializeStepCondition() const;
        void executeIntermediateStep(Size ) const;
    };

    #endif

}


#endif

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