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)
std::string	description () const override
Real	strike () const
Public Member Functions inherited from TypePayoff
Option::Type	optionType () const
std::string	description () const override
Public Member Functions inherited from Payoff

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

Additional Inherited Members
	StrikedTypePayoff (Option::Type type, Real strike)
	TypePayoff (Option::Type type)
Real	strike_
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

overridevirtual

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.

description()

std::string description ( ) const

overridevirtual

Implements Payoff.

operator()()

Real operator() ( Real price ) const

overridevirtual

Implements Payoff.

accept()

void accept ( AcyclicVisitor & )

overridevirtual

Reimplemented from Payoff.