QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Ratchet payoff (single option) More...
#include <stickyratchet.hpp>
Public Member Functions | |
RatchetPayoff (Real gearing1, Real gearing2, Real spread1, Real spread2, Real initialValue, Real accrualFactor) | |
Payoff interface | |
std::string | name () const override |
Public Member Functions inherited from DoubleStickyRatchetPayoff | |
DoubleStickyRatchetPayoff (Real type1, Real type2, Real gearing1, Real gearing2, Real gearing3, Real spread1, Real spread2, Real spread3, Real initialValue1, Real initialValue2, Real accrualFactor) | |
Real | operator() (Real forward) const override |
std::string | description () const override |
void | accept (AcyclicVisitor &) override |
Public Member Functions inherited from Payoff | |
virtual | ~Payoff ()=default |
Additional Inherited Members | |
Protected Attributes inherited from DoubleStickyRatchetPayoff | |
Real | type1_ |
Real | type2_ |
Real | gearing1_ |
Real | gearing2_ |
Real | gearing3_ |
Real | spread1_ |
Real | spread2_ |
Real | spread3_ |
Real | initialValue1_ |
Real | initialValue2_ |
Real | accrualFactor_ |
Ratchet payoff (single option)
Definition at line 63 of file stickyratchet.hpp.
RatchetPayoff | ( | Real | gearing1, |
Real | gearing2, | ||
Real | spread1, | ||
Real | spread2, | ||
Real | initialValue, | ||
Real | accrualFactor | ||
) |
Definition at line 65 of file stickyratchet.hpp.
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overridevirtual |
Reimplemented from DoubleStickyRatchetPayoff.
Definition at line 75 of file stickyratchet.hpp.