QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Arguments for cliquet option calculation More...
#include <cliquetoption.hpp>
Public Member Functions | |
arguments () | |
void | validate () const override |
Public Attributes | |
Real | accruedCoupon |
Real | lastFixing |
Real | localCap |
Real | localFloor |
Real | globalCap |
Real | globalFloor |
std::vector< Date > | resetDates |
Arguments for cliquet option calculation
Definition at line 63 of file cliquetoption.hpp.
arguments | ( | ) |
Definition at line 65 of file cliquetoption.hpp.
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override |
Real accruedCoupon |
Definition at line 72 of file cliquetoption.hpp.
Real lastFixing |
Definition at line 72 of file cliquetoption.hpp.
Real localCap |
Definition at line 73 of file cliquetoption.hpp.
Real localFloor |
Definition at line 73 of file cliquetoption.hpp.
Real globalCap |
Definition at line 73 of file cliquetoption.hpp.
Real globalFloor |
Definition at line 73 of file cliquetoption.hpp.
std::vector<Date> resetDates |
Definition at line 74 of file cliquetoption.hpp.