GapPayoff Class Reference
#include <ql/instruments/payoffs.hpp>
Inheritance diagram for GapPayoff:

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] |