Re: Managed Wrapper

Posted by John Maiden on Apr 04, 2011; 2:30am
URL: http://quantlib.414.s1.nabble.com/Managed-Wrapper-tp8470p8474.html

I can also swap out the American code with a Bermudan one-exercise, which also
builds and links:

        std::vector<Date> exerciseDates;
        exerciseDates.push_back(maturity);

        boost::shared_ptr<Exercise> bermudanExercise(
                                    new BermudanExercise(exerciseDates));

        VanillaOption bermudanOption(payoff, bermudanExercise);

    bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
                new FDBermudanEngine<CrankNicolson>(bsmProcess, timeSteps,
timeSteps-1)));

        NPV = bermudanOption.NPV();


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