QuantLib_GapPayoff man page

GapPayoff — Binary gap payoff.


#include <ql/instruments/payoffs.hpp>

Inherits StrikedTypePayoff.

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_

Additional Inherited 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.


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.

Implements Payoff.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

GapPayoff(3), secondStrike(3) and secondStrike_(3) are aliases of QuantLib_GapPayoff(3).

QuantLib Version 1.8.1 Fri Sep 23 2016