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QuantLib_SuperFundPayoff

NAME

QuantLib::SuperFundPayoff -

Binary supershare and superfund payoffs.

SYNOPSIS

#include <ql/instruments/payoffs.hpp>

Inherits QuantLib::StrikedTypePayoff.

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.

Author

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