Binary gap payoff. More...
#include <ql/instruments/payoffs.hpp>
 Inheritance diagram for GapPayoff:
 Inheritance diagram for GapPayoff:| 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) | |
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.