Swing Option


Swing Option is a direct subtype of Exotic Option
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with functions Swing Option Functions, keys Swing Option keys and example object SwingOpt

TYPE INCLUSION RELATIONSHIPS

Exotic Option

Swing Option

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

Intraday Exercise

Max Exercises

Min Exercises

Refraction Time

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TYPICAL OBJECTS OF TYPE Swing Option

SwingOpt

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This type 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]