QuantLib 0.3.6 http://quantlib.org User manual Introduction to QuantLib Introduction Project overview Where to get QuantLib Installation Usage Version history Additional resources The QuantLib group Copyright and license QuantLib components Core classes Date and time calculations Lattice methods The finite differences framework The Monte Carlo framework Short-rate models Currencies and FX rates Instruments and pricers Math tools Design patterns Term structures Utilities Examples Reference manual Modules Class Hierarchy Compound List File List Compound Members File Members Todo List Known Bugs Deprecated Features

FdBermudanOption Class Reference #include <ql/Pricers/fdbermudanoption.hpp> List of all members. Detailed Description Bermudan option. Public Member Functions   FdBermudanOption (Option::Type type, double underlying, double strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, double volatility, const std::vector< Time > &dates=std::vector< Time >(), int timeSteps=100, int gridPoints=100) Handle< SingleAssetOption >  clone () const Protected Member Functions void  initializeStepCondition () const void  executeIntermediateStep (int) const Protected Attributes double  extraTermInBermudan

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