SuperFundPayoff Class Reference

Binary supershare and superfund payoffs. More...

#include <payoffs.hpp>

Inheritance diagram for SuperFundPayoff:

Collaboration diagram for SuperFundPayoff:

Public Member Functions
	SuperFundPayoff (Real strike, Real secondStrike)
Public Member Functions inherited from StrikedTypePayoff
std::string	description () const override
Real	strike () const
Public Member Functions inherited from TypePayoff
Option::Type	optionType () const
Public Member Functions inherited from Payoff
virtual	~Payoff ()=default

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

Additional Inherited Members
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 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

Definition at line 207 of file payoffs.hpp.

Constructor & Destructor Documentation

SuperFundPayoff()

SuperFundPayoff	(	Real	strike,
		Real	secondStrike
	)

Definition at line 209 of file payoffs.hpp.

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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.

Definition at line 222 of file payoffs.hpp.

operator()()

Real operator() ( Real  price ) const

overridevirtual

Implements Payoff.

Definition at line 197 of file payoffs.cpp.

accept()

void accept ( AcyclicVisitor &  v )

overridevirtual

Reimplemented from Payoff.

Definition at line 201 of file payoffs.cpp.

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secondStrike()

Real secondStrike

(

)

const

Definition at line 226 of file payoffs.hpp.

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Member Data Documentation

secondStrike_

Real secondStrike_

protected

Definition at line 228 of file payoffs.hpp.