GapPayoff (3) - Linux Manuals
GapPayoff: Binary gap payoff.
NAME
QuantLib::GapPayoff - Binary gap payoff.
SYNOPSIS
#include <ql/instruments/payoffs.hpp>
Inherits QuantLib::StrikedTypePayoff.
Public Member Functions
GapPayoff (Option::Type type, Real strike, Real secondStrike)
Real secondStrike () const
Payoff interface
std::string name () const
std::string description () const
Real operator() (Real price) const
virtual void accept (AcyclicVisitor &)
Protected Attributes
Detailed Description
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.
Warning
- this payoff can be negative depending on the strikes
Member Function Documentation
std::string name () const [virtual]
Warning
- This method is used for output and comparison between payoffs. It is not meant to be used for writing switch-on-type code.
Implements Payoff.
Author
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