JQuantLib

BermudanExercise with Binomial and Trinomial trees

Bug #1209926 reported by Richard Gomes
6
This bug affects 1 person
Affects Status Importance Assigned to Milestone
JQuantLib
New
Medium
Unassigned

Bug Description

Review BinomialDividendVanillaEngine and BinomialVanillaEngine in order to properly support BermudanExercise. Please have a look at method BinomialVanillaEngine#calculate.

The same issue probably applies to TrinomialTrees.

Tags: code-review
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