QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
Public Member Functions | Protected Attributes | List of all members
DoubleStickyRatchetPayoff Class Reference

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

#include <ql/instruments/stickyratchet.hpp>

+ Inheritance 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)
 
Payoff interface
std::string name () const
 
Real operator() (Real forward) const
 
std::string description () const
 
virtual void accept (AcyclicVisitor &)
 
Payoff interface
Visitability

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