secondStrike_ (3) - Linux Man Pages

secondStrike_: 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


Real secondStrike_

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

Generated automatically by Doxygen for QuantLib from the source code.