SuperFundPayoff Class Reference

#include <ql/instruments/payoffs.hpp>

Inheritance diagram for SuperFundPayoff:

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

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_


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.