GapPayoff (3) - Linux Man Pages
GapPayoff: Binary gap payoff.
QuantLib::GapPayoff - Binary gap payoff.
Public Member Functions
GapPayoff (Option::Type type, Real strike, Real secondStrike)
Real secondStrike () const
Binary gap payoff.
This payoff is equivalent to being a) long a PlainVanillaPayoff at the first strike (same Call/Put type) and b) short a CashOrNothingPayoff at the first strike (same Call/Put type) with cash payoff equal to the difference between the second and the first strike.
- this payoff can be negative depending on the strikes
Member Function Documentation
std::string name () const [virtual]
- This method is used for output and comparison between payoffs. It is not meant to be used for writing switch-on-type code.
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