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QuantLib::SuperFundPayoff Class Reference

#include <payoffs.hpp>

Inheritance diagram for QuantLib::SuperFundPayoff:

QuantLib::StrikedTypePayoff QuantLib::TypePayoff QuantLib::Payoff

List of all members.

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

Definition at line 206 of file payoffs.hpp.

Public Member Functions

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

Protected Attributes

Real secondStrike_
Real strike_
Option::Type type_

The documentation for this class was generated from the following files:

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