accruedcoupon(3)

QuantLib::CliquetOption::arguments – Arguments for cliquet option calculation

Synopsis

#include <ql/instruments/cliquetoption.hpp>

Inherits QuantLib::Option::arguments.

Public Member Functions

void validate () const

Public Attributes

Real accruedCoupon

Real lastFixing

Real localCap

Real localFloor

Real globalCap

Real globalFloor

std::vector< Date > resetDates

Detailed Description

Arguments for cliquet option calculation

Author

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