Re: Some questions

Posted by Sadruddin Rejeb-3 on Jun 13, 2002; 5:17am
URL: http://quantlib.414.s1.nabble.com/Some-questions-tp10105p10109.html

Hi Luigi,
> As for the American, one just has to pass an American engine to the
> VanillaOption.
I think there are some american options that cannot be exercised before a
starting date. That's why AmericanExercise instances are constructed using
AmericanExercise(Date earliestDate, Date latestDate). This is also the way
FpML implements the american exercise type. So, the present interface of
VanillaOption cannot handle this case. Perhaps we should replace
"Date exerciseDate" by "Exercise exercise".

Sad