Exercise.HTML_1.gif

functions to construct and use Exercise objects.

The first step is to load the QuantLib package.

Needs["QuantLib`"]

Within the Exercise part there are several constructors and member functions available

In[720]:=

Select[Category[Exercise],QLConstructor[#]&]

Out[720]=

Exercise.HTML_2.gif

In[721]:=

Select[Category[Exercise],QLMember[#]&]

Out[721]=

Exercise.HTML_3.gif

Constructors

AmericanExercise

Exercise.HTML_4.gif

Exercise.HTML_5.gif

In[726]:=

Exercise.HTML_6.gif

In[728]:=

obj=AmericanExercise[EarliestDate,LatestDate]

Out[728]=

Exercise.HTML_7.gif

EuropeanExercise

Exercise.HTML_8.gif

In[729]:=

Exercise.HTML_9.gif

In[730]:=

obj=EuropeanExercise[ExpiryDate]

Out[730]=

Exercise.HTML_10.gif

BermudanExercise

Exercise.HTML_11.gif

Exercise.HTML_12.gif

In[731]:=

Exercise.HTML_13.gif

In[732]:=

obj=BermudanExercise[Dates]

Out[732]=

Exercise.HTML_14.gif

Member function

ExerciseDates

In[733]:=

ExerciseDates[obj]

Out[733]=

Exercise.HTML_15.gif

ExerciseLastDate

In[734]:=

ExerciseLastDate[obj]

Out[734]=

Exercise.HTML_16.gif

Spikey Created with Wolfram Mathematica 7.0