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_ |
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.