Binary supershare and superfund payoffs. More...
#include <ql/instruments/payoffs.hpp>
Inheritance diagram for SuperFundPayoff:Public Member Functions | |
| SuperFundPayoff (Real strike, Real secondStrike) | |
Public Member Functions inherited from StrikedTypePayoff | |
| std::string | description () const |
| Real | strike () const |
Public Member Functions inherited from TypePayoff | |
| Option::Type | optionType () const |
Payoff interface | |
Visitability | |
Payoff interface | |
| Real | secondStrike_ |
| std::string | name () const |
| Real | operator() (Real price) const |
| virtual void | accept (AcyclicVisitor &) |
| Real | secondStrike () const |
Additional Inherited Members | |
Public Types inherited from Payoff | |
| typedef Real | argument_type |
| typedef Real | result_type |
Protected Member Functions inherited from StrikedTypePayoff | |
| StrikedTypePayoff (Option::Type type, Real strike) | |
Protected Member Functions inherited from TypePayoff | |
| TypePayoff (Option::Type type) | |
Protected Attributes inherited from StrikedTypePayoff | |
| Real | strike_ |
Protected Attributes inherited from 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