Binary supershare and superfund payoffs. More...
#include <ql/instruments/payoffs.hpp>
 Inheritance diagram for SuperFundPayoff:
 Inheritance diagram for SuperFundPayoff:| 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 &) | 
|  Public Member Functions inherited from StrikedTypePayoff | |
| Real | strike () const | 
| std::string | description () 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 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