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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.

Compounds

class Option

class LiborDerivative

class Caplet

class Swaption

class BondCall

Generated on Mon Sep 22 02:16:32 2003 for Libor-Library by

1.3-rc3


Compounds
class	Option
class	LiborDerivative
class	Caplet
class	Swaption
class	BondCall