pricing Equity Bermudan Option

Posted by enrico.michelotti on
URL: http://quantlib.414.s1.nabble.com/pricing-Equity-Bermudan-Option-tp4075.html

Hi all,
sorry for the, maybe, trivial question.
What is the best Pricing Engine to instantiate (if any)
in order to price an Equity Bermudan (at discrete time) option?

I tried with BinomialVanillaEngine but it doesn't work since it uses only the last date (expiry) as a mandatoryTimes in the TimGrid, forgetting all the previous exercise dates.

Can anybody helps?

Thanks in advance,
Enrico