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Option.h File Reference

Detailed Description

The class Option is the general interface to all European or Bermudan options. In fact Bermudan options allow exercise at an arbitrary sequence of times and European respectively American options are treated as a special case where exercise is possible only at expiry respectively at each time step. See Option, LiborDerivative, Caplet, Swaption and BondCall.

Definition in file Option.h.

#include "TypedefsMacros.h"
#include "Pricing.h"
#include "Node.h"
#include <cstdlib>

Go to the source code of this file.


class  Option
class  LiborDerivative
class  Caplet
class  Swaption
class  BondCall

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