GapPayoff Class Reference

#include <ql/instruments/payoffs.hpp>

Inheritance diagram for GapPayoff:

Inheritance graph
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List of all members.

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


Public Member Functions

 GapPayoff (Option::Type type, Real strike, Real secondStrike)
Real secondStrike () const
Payoff interface
std::string name () const
std::string description () const
Real operator() (Real price) const
virtual void accept (AcyclicVisitor &)

Protected Attributes

Real secondStrike_


Member Function Documentation

std::string name (  )  const [virtual]

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.