QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Binary asset-or-nothing payoff. More...
#include <payoffs.hpp>
Public Member Functions | |
AssetOrNothingPayoff (Option::Type type, Real strike) | |
Payoff interface | |
std::string | name () const override |
Real | operator() (Real price) const override |
void | accept (AcyclicVisitor &) override |
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 |
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_ |
Binary asset-or-nothing payoff.
Definitions of Binary path-independent payoffs used below, can be found in M. Rubinstein, E. Reiner:"Unscrambling The Binary Code", Risk, Vol.4 no.9,1991. (see: http://www.in-the-money.com/artandpap/Binary%20Options.doc)
Definition at line 138 of file payoffs.hpp.
AssetOrNothingPayoff | ( | Option::Type | type, |
Real | strike | ||
) |
Definition at line 140 of file payoffs.hpp.
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overridevirtual |
Implements Payoff.
Definition at line 145 of file payoffs.hpp.
Implements Payoff.
Definition at line 129 of file payoffs.cpp.
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overridevirtual |
Reimplemented from Payoff.
Definition at line 140 of file payoffs.cpp.