org.jquantlib.exercise

Class AmericanExercise

java.lang.Object

org.jquantlib.exercise.Exercise

org.jquantlib.exercise.EarlyExercise

org.jquantlib.exercise.AmericanExercise

public class AmericanExercise
extends EarlyExercise

American exercise

An American option can be exercised at any time between two predefined dates. In case the first date is omitted, the option can be exercised at any time before the expiry date.

Nested Class Summary

Nested classes/interfaces inherited from class org.jquantlib.exercise.Exercise

Exercise.Type

Constructor Summary

Constructors

Constructor and Description
AmericanExercise(Date earliestDate, Date latestDate) Constructs an AmericanExercise with two limiting dates define and a default payoff equals false, which means there's no payoff at exercise Date.
AmericanExercise(Date earliestDate, Date latestDate, boolean payoffAtExpiry) Constructs an AmericanExercise with two limiting dates and a defined payoff.

Method Summary

Methods inherited from class org.jquantlib.exercise.EarlyExercise

payoffAtExpiry

Methods inherited from class org.jquantlib.exercise.Exercise

date, dates, lastDate, size, type

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

AmericanExercise

public AmericanExercise(Date earliestDate,
                        Date latestDate)

Constructs an AmericanExercise with two limiting dates define and a default payoff equals false, which means there's no payoff at exercise Date.

Parameters:

earliestDate -

latestDate -

AmericanExercise

public AmericanExercise(Date earliestDate,
                        Date latestDate,
                        boolean payoffAtExpiry)

Constructs an AmericanExercise with two limiting dates and a defined payoff.

Parameters:

earliestDate - is the earliest Date of exercise

latestDate - is the latest Date of exercise

payoffAtExpiry - is true if a payoff is expected to happen on exercise date