DoubleStickyRatchetPayoff Class Reference

Intermediate class for single/double sticky/ratchet payoffs. More...

#include <stickyratchet.hpp>

Inheritance diagram for DoubleStickyRatchetPayoff:

Collaboration diagram for DoubleStickyRatchetPayoff:

Public Member Functions
	DoubleStickyRatchetPayoff (Real type1, Real type2, Real gearing1, Real gearing2, Real gearing3, Real spread1, Real spread2, Real spread3, Real initialValue1, Real initialValue2, Real accrualFactor)
Public Member Functions inherited from Payoff
virtual	~Payoff ()=default

Payoff interface
Real	type1_
Real	type2_
Real	gearing1_
Real	gearing2_
Real	gearing3_
Real	spread1_
Real	spread2_
Real	spread3_
Real	initialValue1_
Real	initialValue2_
Real	accrualFactor_
std::string	name () const override
Real	operator() (Real forward) const override
std::string	description () const override
void	accept (AcyclicVisitor &) override

Detailed Description

Intermediate class for single/double sticky/ratchet payoffs.

Definition at line 36 of file stickyratchet.hpp.

Constructor & Destructor Documentation

DoubleStickyRatchetPayoff()

DoubleStickyRatchetPayoff	(	Real	type1,
		Real	type2,
		Real	gearing1,
		Real	gearing2,
		Real	gearing3,
		Real	spread1,
		Real	spread2,
		Real	spread3,
		Real	initialValue1,
		Real	initialValue2,
		Real	accrualFactor
	)

Definition at line 38 of file stickyratchet.hpp.

Member Function Documentation

name()

std::string name ( ) const

overridevirtual

Warning:

This method is used for output and comparison between payoffs. It is not meant to be used for writing switch-on-type code.

Implements Payoff.

Reimplemented in RatchetPayoff, StickyPayoff, RatchetMaxPayoff, RatchetMinPayoff, StickyMaxPayoff, and StickyMinPayoff.

Definition at line 40 of file stickyratchet.cpp.

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operator()()

Real operator() ( Real  forward ) const

overridevirtual

Implements Payoff.

Definition at line 26 of file stickyratchet.cpp.

description()

std::string description ( ) const

overridevirtual

Implements Payoff.

Definition at line 44 of file stickyratchet.cpp.

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accept()

void accept ( AcyclicVisitor &  v )

overridevirtual

Reimplemented from Payoff.

Definition at line 50 of file stickyratchet.cpp.

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Member Data Documentation

type1_

Real type1_

protected

Definition at line 56 of file stickyratchet.hpp.

type2_

Real type2_

protected

Definition at line 56 of file stickyratchet.hpp.

gearing1_

Real gearing1_

protected

Definition at line 57 of file stickyratchet.hpp.

gearing2_

Real gearing2_

protected

Definition at line 57 of file stickyratchet.hpp.

gearing3_

Real gearing3_

protected

Definition at line 57 of file stickyratchet.hpp.

spread1_

Real spread1_

protected

Definition at line 58 of file stickyratchet.hpp.

spread2_

Real spread2_

protected

Definition at line 58 of file stickyratchet.hpp.

spread3_

Real spread3_

protected

Definition at line 58 of file stickyratchet.hpp.

initialValue1_

Real initialValue1_

protected

Definition at line 59 of file stickyratchet.hpp.

initialValue2_

Real initialValue2_

protected

Definition at line 59 of file stickyratchet.hpp.

accrualFactor_

Real accrualFactor_

protected

Definition at line 59 of file stickyratchet.hpp.