QuantLib_DigitalCmsSpreadCoupon man page

DigitalCmsSpreadCoupon — Cms-spread-rate coupon with digital digital call/put option.

Synopsis

#include <ql/experimental/coupons/digitalcmsspreadcoupon.hpp>

Inherits DigitalCoupon.

Public Member Functions

DigitalCmsSpreadCoupon (const boost::shared_ptr< CmsSpreadCoupon > &underlying, Rate callStrike=Null< Rate >(), Position::Type callPosition=Position::Long, bool isCallATMIncluded=false, Rate callDigitalPayoff=Null< Rate >(), Rate putStrike=Null< Rate >(), Position::Type putPosition=Position::Long, bool isPutATMIncluded=false, Rate putDigitalPayoff=Null< Rate >(), const boost::shared_ptr< DigitalReplication > &replication=boost::shared_ptr< DigitalReplication >(new DigitalReplication))

Visitability

virtual void accept (AcyclicVisitor &)

Additional Inherited Members

Detailed Description

Cms-spread-rate coupon with digital digital call/put option.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

DigitalCmsSpreadCoupon(3) is an alias of QuantLib_DigitalCmsSpreadCoupon(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib