DoubleStickyRatchetPayoff (3) - Linux Manuals

DoubleStickyRatchetPayoff: Intermediate class for single/double sticky/ratchet payoffs.

NAME

QuantLib::DoubleStickyRatchetPayoff - Intermediate class for single/double sticky/ratchet payoffs.

SYNOPSIS

#include <ql/instruments/stickyratchet.hpp>

Inherits QuantLib::Payoff.

Inherited by RatchetMaxPayoff, RatchetMinPayoff, RatchetPayoff, StickyMaxPayoff, StickyMinPayoff, and StickyPayoff.

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)

Payoff interface

std::string name () const

Real operator() (Real forward) const

std::string description () const

virtual void accept (AcyclicVisitor &)

Protected Attributes

Real type1_

Real type2_

Real gearing1_

Real gearing2_

Real gearing3_

Real spread1_

Real spread2_

Real spread3_

Real initialValue1_

Real initialValue2_

Real accrualFactor_

Detailed Description

Intermediate class for single/double sticky/ratchet payoffs.

Member Function Documentation

std::string name () const [virtual]

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.

Author

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