GapPayoff Class Reference

Binary gap payoff. More...

#include <ql/instruments/payoffs.hpp>

Inheritance diagram for GapPayoff:

Public Member Functions
	GapPayoff (Option::Type type, Real strike, Real secondStrike)
Public Member Functions inherited from StrikedTypePayoff
Real	strike () const
Public Member Functions inherited from TypePayoff
Option::Type	optionType () const
Payoff interface
Visitability

Payoff interface
Real	secondStrike_
std::string	name () const
std::string	description () const
Real	operator() (Real price) const
virtual void	accept (AcyclicVisitor &)
Real	secondStrike () const

Additional Inherited Members
Public Types inherited from Payoff
typedef Real	argument_type
typedef Real	result_type
Protected Member Functions inherited from StrikedTypePayoff
	StrikedTypePayoff (Option::Type type, Real strike)
Protected Member Functions inherited from TypePayoff
	TypePayoff (Option::Type type)
Protected Attributes inherited from StrikedTypePayoff
Real	strike_
Protected Attributes inherited from TypePayoff
Option::Type	type_

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

name()

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.