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stickyratchet.hpp
Langue: en
Version: 379214 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/instruments/stickyratchet.hpp -Payoffs for double nested options of sticky or ratchet type.
SYNOPSIS
#include <ql/option.hpp>
#include <ql/payoff.hpp>
Classes
class DoubleStickyRatchetPayoff
Intermediate class for single/double sticky/ratchet payoffs.
class RatchetPayoff
Ratchet payoff (single option).
class StickyPayoff
Sticky payoff (single option).
class RatchetMaxPayoff
RatchetMax payoff (double option).
class RatchetMinPayoff
RatchetMin payoff (double option).
class StickyMaxPayoff
StickyMax payoff (double option).
class StickyMinPayoff
StickyMin payoff (double option).
Detailed Description
Payoffs for double nested options of sticky or ratchet type.
Author
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