GapPayoff Class Reference

Binary gap payoff. More...

#include <payoffs.hpp>

Inheritance diagram for GapPayoff:

Collaboration 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
Public Member Functions inherited from Payoff
virtual	~Payoff ()=default

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
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

Definition at line 178 of file payoffs.hpp.

Constructor & Destructor Documentation

GapPayoff()

GapPayoff	(	Option::Type	type,
		Real	strike,
		Real	secondStrike
	)

Definition at line 180 of file payoffs.hpp.

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 186 of file payoffs.hpp.

description()

std::string description ( ) const

overridevirtual

Reimplemented from StrikedTypePayoff.

Definition at line 172 of file payoffs.cpp.

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operator()()

Real operator() ( Real  price ) const

overridevirtual

Implements Payoff.

Definition at line 178 of file payoffs.cpp.

accept()

void accept ( AcyclicVisitor &  v )

overridevirtual

Reimplemented from Payoff.

Definition at line 189 of file payoffs.cpp.

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secondStrike()

Real secondStrike

(

)

const

Definition at line 191 of file payoffs.hpp.

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Member Data Documentation

secondStrike_

Real secondStrike_

protected

Definition at line 193 of file payoffs.hpp.