org.jquantlib.exercise

Class BermudanExercise

java.lang.Object

org.jquantlib.exercise.Exercise

org.jquantlib.exercise.EarlyExercise

org.jquantlib.exercise.BermudanExercise

public class BermudanExercise
extends EarlyExercise

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

Nested Class Summary

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

Exercise.Type

Constructor Summary

Constructors

Constructor and Description
BermudanExercise(Date[] dates) Constructs a BermudanExercise with a list of exercise dates and the default payoff
BermudanExercise(Date[] dates, boolean payoffAtExpiry) Constructs a BermudanExercise with a list of exercise dates and the default 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

BermudanExercise

public BermudanExercise(Date[] dates)

Constructs a BermudanExercise with a list of exercise dates and the default payoff

Parameters:

dates - is a list of exercise dates. If the list contains only one date, a BermundanExercise behaves like an EuropeanExercise.

Throws:

java.lang.IllegalArgumentException - if the list is null or empty

See Also:

EuropeanExercise, BermudanExercise#BermudanExercise(List, boolean)

BermudanExercise

public BermudanExercise(Date[] dates,
                        boolean payoffAtExpiry)

Constructs a BermudanExercise with a list of exercise dates and the default payoff

Parameters:

dates - is a list of exercise dates. If the list contains only one date, a BermundanExercise behaves like an EuropeanExercise.

payoffAtExpiry - is true if payoffs are expected to happen on exercise dates

Throws:

java.lang.IllegalArgumentException - if the list is null or empty

See Also:

EuropeanExercise