QuantLib_SuperFundPayoff (3) - Linux Manuals
QuantLib_SuperFundPayoff: Binary supershare and superfund payoffs.
QuantLib::SuperFundPayoff - Binary supershare and superfund payoffs.
Public Member Functions
SuperFundPayoff (Real strike, Real secondStrike)
Real secondStrike () const
std::string name () const
Real operator() (Real price) const
virtual void accept (AcyclicVisitor &)
Binary supershare and superfund payoffs.
Binary superfund payoff
Superfund sometimes also called 'supershare', which can lead to ambiguity; within QuantLib the terms supershare and superfund are used consistently according to the definitions in Bloomberg OVX function's help pages.
This payoff is equivalent to being (1/lowerstrike) a) long (short) an AssetOrNothing Call (Put) at the lower strike and b) short (long) an AssetOrNothing Call (Put) at the higher strike
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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