#include <BermudanOption.h>
Inheritance diagram for BermudanSwaption:
Definition at line 63 of file BermudanOption.h.
Public Member Functions | |
Real | getStrike () |
bool | isExercisable (Real t) |
BermudanSwaption (int p_, int q_, int paths, Real strike, LiborMarketModel *lmm, bool verbose=false) | |
Real | nextForwardPayoff () |
Real | currentForwardPayoff (int s) |
Real | forwardPayoff (StandardBrownianNode *node, LmmLattice *theLattice, int s) |
std::ostream & | printSelf (std::ostream &os) const |
Static Public Member Functions | |
BermudanSwaption * | sample (int p, int q, int paths, bool verbose=false, int lmmType=0, int volType=2, int corrType=1) |
Friends | |
class | PjTrigger |
|
|
|
The srike rate. Definition at line 75 of file BermudanOption.h. References Real. |
|
Wether or not the option can be exercised at continuous time t. Reimplemented from Option. |
|
Sample at the money Bermudan swaption.
|
|
Next random sample of the swaption payoff (resulting from the exercise strategy implemented by the trigger) compounded forward to time . Reimplemented from Option. |
|
Swaption payoff if exercised at time in the current Libor path compounded forward to time . |
|
Payoff at node compounded forward to time . Specialization overrides base class template.
Reimplemented from LiborDerivative. |
|
Message identifying the derivative. Reimplemented from LiborDerivative. |
|
Definition at line 70 of file BermudanOption.h. |