localCap (3) - Linux Manuals

localCap: Arguments for cliquet option calculation

NAME

QuantLib::CliquetOption::arguments - Arguments for cliquet option calculation

SYNOPSIS

#include <ql/instruments/cliquetoption.hpp>

Inherits QuantLib::Option::arguments.

Public Member Functions

void validate () const

Public Attributes

Real accruedCoupon

Real lastFixing

Real localCap

Real localFloor

Real globalCap

Real globalFloor

std::vector< Date > resetDates

Detailed Description

Arguments for cliquet option calculation

Author

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