Valuation library for inflation-indexed bonds
Public Member Functions | Public Attributes | List of all members
AndrewKalotayAssociates::Common::Input::Option Struct Reference

Terms of a call or put option. More...

#include "andrew_kalotay_associates/common/structs.h"

Public Member Functions

 Option ()
 Default constructor is no option.

Public Attributes

TimeDifference notice_period
 How much advance notice must be given for a call or put.
CalendarFrequency::type frequency
Date end
 Set to maturity date unless option ends before it.
Array< StrikeScheduleItemstrike_schedule

Detailed Description

Terms of a call or put option.

Member Data Documentation

◆ frequency

CalendarFrequency::type AndrewKalotayAssociates::Common::Input::Option::frequency

How often call or put dates occur. Default is never. Set to daily if American option

◆ strike_schedule

Array<StrikeScheduleItem> AndrewKalotayAssociates::Common::Input::Option::strike_schedule

Needs more than one item only if strike price changes

The documentation for this struct was generated from the following file: