QuantLib_AssetOrNothingPayoff (3) - Linux Manuals

QuantLib_AssetOrNothingPayoff: Binary asset-or-nothing payoff.

NAME

QuantLib::AssetOrNothingPayoff - Binary asset-or-nothing payoff.

SYNOPSIS

#include <ql/instruments/payoffs.hpp>

Inherits QuantLib::StrikedTypePayoff.

Public Member Functions

AssetOrNothingPayoff (Option::Type type, Real strike)

Payoff interface

std::string name () const

Real operator() (Real price) const

virtual void accept (AcyclicVisitor &)

Detailed Description

Binary asset-or-nothing payoff.

Definitions of Binary path-independent payoffs used below, can be found in M. Rubinstein, E. Reiner:'Unscrambling The Binary Code', Risk, Vol.4 no.9,1991. (see: http://www.in-the-money.com/artandpap/Binary%20Options.doc)

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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