Class StickyMaxPayoff

Namespace

NanoQL.Instruments

Assembly

NanoQL.dll

The sticky-max payoff, a double option: the double payoff with the types +1 and −1.

public sealed class StickyMaxPayoff : DoubleStickyRatchetPayoff

Inheritance

object

Payoff

DoubleStickyRatchetPayoff

StickyMaxPayoff

Inherited Members

DoubleStickyRatchetPayoff.Evaluate(double)

DoubleStickyRatchetPayoff.Description

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Constructors

StickyMaxPayoff(double, double, double, double, double, double, double, double, double)

Initializes a new instance of the StickyMaxPayoff class.

public StickyMaxPayoff(double gearing1, double gearing2, double gearing3, double spread1, double spread2, double spread3, double initialValue1, double initialValue2, double accrualFactor)

Parameters

gearing1 double

The first strike's gearing.

gearing2 double

The second strike's gearing.

gearing3 double

The swaplet's gearing.

spread1 double

The first strike's spread.

spread2 double

The second strike's spread.

spread3 double

The swaplet's spread.

initialValue1 double

The first strike's initial value.

initialValue2 double

The second strike's initial value.

accrualFactor double

The accrual factor.

Properties

Name

Gets the payoff's name.

public override string Name { get; }

Property Value

string

Remarks

Used for output and comparison between payoffs. It is not meant to be used for writing switch-on-type code.