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Sourcecode: quantlib version File versions  Download package

stickyratchet.hpp File Reference


Detailed Description

Payoffs for double nested options of sticky or ratchet type.

Definition in file stickyratchet.hpp.

#include <ql/option.hpp>
#include <ql/payoff.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Classes

class  QuantLib::DoubleStickyRatchetPayoff
 Intermediate class for single/double sticky/ratchet payoffs. More...
class  QuantLib::RatchetMaxPayoff
 RatchetMax payoff (double option). More...
class  QuantLib::RatchetMinPayoff
 RatchetMin payoff (double option). More...
class  QuantLib::RatchetPayoff
 Ratchet payoff (single option). More...
class  QuantLib::StickyMaxPayoff
 StickyMax payoff (double option). More...
class  QuantLib::StickyMinPayoff
 StickyMin payoff (double option). More...
class  QuantLib::StickyPayoff
 Sticky payoff (single option). More...


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