DoubleStickyRatchetPayoff Class Reference
#include <ql/instruments/stickyratchet.hpp>
Inheritance diagram for DoubleStickyRatchetPayoff:

Detailed Description
Intermediate class for single/double sticky/ratchet payoffs.
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_ |
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.