QuantLib_GapPayoff man page
GapPayoff — Binary gap payoff.
Public Member Functions
GapPayoff (Option::Type type, Real strike, Real secondStrike)
Real secondStrike () const
std::string name () const
std::string description () const
Real operator() (Real price) const
virtual void accept (AcyclicVisitor &)
Additional Inherited Members
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.
this payoff can be negative depending on the strikes
Member Function Documentation
std::string name () const [virtual]
This method is used for output and comparison between payoffs. It is not meant to be used for writing switch-on-type code.
Generated automatically by Doxygen for QuantLib from the source code.
GapPayoff(3), secondStrike(3) and secondStrike_(3) are aliases of QuantLib_GapPayoff(3).