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QuantLib_GapPayoff

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

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