Swing Option


Swing Option is a
direct subtype of Exotic Option with functions Swing Option Functions, keys Swing Option keys and example object SwingOpt that represents an Option contract that may be exercised more than once at distinct times chosen by the option holder out of a set of predefined exercise-allowing times.
The number of actually undertaken exercises must lie between two numbers that are specified in the option contract.
The set of predefined exercise-allowing times may optionally involve intraday intervals by specifying the start and end dates as well as the number of seconds that separate any two successive exercise-allowing times.

The following features are currently not supported by QuantLib:
Barriers, discrete dividends.

The pricing methodology is specified in
Model[Swing Option]