Class DoubleStickyRatchetPayoff

Intermediate class for single/double sticky/ratchet payoffs.

initialValues can be a (forward) rate or a coupon/accrualFactor

Hierarchy

Payoff
- DoubleStickyRatchetPayoff

Implements

UnaryFunction<Real, Real>

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new DoubleStickyRatchetPayoff(type1: Real, type2: Real, gearing1: Real, gearing2: Real, gearing3: Real, spread1: Real, spread2: Real, spread3: Real, initialValue1: Real, initialValue2: Real, accrualFactor: Real): DoubleStickyRatchetPayoff

- Defined in ql/instruments/stickyratchet.ts:14
Parameters
- type1: Real
- type2: Real
- gearing1: Real
- gearing2: Real
- gearing3: Real
- spread1: Real
- spread2: Real
- spread3: Real
- initialValue1: Real
- initialValue2: Real
- accrualFactor: Real
Returns DoubleStickyRatchetPayoff

Properties

Protected _accrualFactor

_accrualFactor: Real

Protected _gearing1

_gearing1: Real

Protected _gearing2

_gearing2: Real

Protected _gearing3

_gearing3: Real

Protected _initialValue1

_initialValue1: Real

Protected _initialValue2

_initialValue2: Real

Protected _spread1

_spread1: Real

Protected _spread2

_spread2: Real

Protected _spread3

_spread3: Real

Protected _type1

_type1: Real

Protected _type2

_type2: Real

Methods

accept

accept(v: AcyclicVisitor): void

Overrides Payoff.accept
- Defined in ql/instruments/stickyratchet.ts:64
Parameters
- v: AcyclicVisitor
Returns void

description

description(): string

Overrides Payoff.description
- Defined in ql/instruments/stickyratchet.ts:37
Returns string

f

f(forward: Real): Real

Overrides Payoff.f
- Defined in ql/instruments/stickyratchet.ts:41
Parameters
- forward: Real
Returns Real

name

name(): string

Overrides Payoff.name
- Defined in ql/instruments/stickyratchet.ts:33
Returns string