QuantLib: GapPayoff Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.12

Public Member Functions | Protected Attributes | List of all members
GapPayoff Class Reference

Binary gap payoff. More...

`#include <ql/instruments/payoffs.hpp>`

Inheritance diagram for GapPayoff:
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## 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 &)
Public Member Functions inherited from StrikedTypePayoff
Real | strike () const
Public Member Functions inherited from TypePayoff
Option::Type | optionType () const
Payoff interface
Visitability

## Protected Attributes
Real | secondStrike_
Protected Attributes inherited from StrikedTypePayoff
Real | strike_
Protected Attributes inherited from TypePayoff
Option::Type | type_

## Additional Inherited Members
Protected Member Functions inherited from StrikedTypePayoff
| StrikedTypePayoff (Option::Type type, Real strike)
Protected Member Functions inherited from TypePayoff
| TypePayoff (Option::Type type)

## 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

## Member Function Documentation

## ◆ name()

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.