SuperFundPayoff Class Reference

Binary supershare and superfund payoffs. More...

#include <ql/instruments/payoffs.hpp>

Inheritance diagram for SuperFundPayoff:

List of all members.

Public Member Functions

 SuperFundPayoff (Real strike, Real secondStrike)
Real secondStrike () const
Payoff interface
std::string name () const
Real operator() (Real price) const
virtual void accept (AcyclicVisitor &)

Protected Attributes

Real secondStrike_


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


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.