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  • Committer: Bazaar Package Importer
  • Author(s): Dirk Eddelbuettel
  • Date: 2007-12-25 12:30:57 UTC
  • mfrom: (1.2.8 upstream) (3.1.2 lenny)
  • Revision ID: james.westby@ubuntu.com-20071225123057-s8kt5k39yusaaw69
Tags: 0.9.0-1
* New upstream release
* As before, re-packaged upstream file QuantLib-docs-0.9.0.html.tar.gz 
  as described in the copyright file included with the Debian package.

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html/class_quant_lib_1_1_gap_payoff.html
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</div>
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<div id="menu">
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<h3 class="navbartitle">Version 0.8.1</h3>
 
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<h3 class="navbartitle">Version 0.9.0</h3>
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<hr>
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<li class="navlink"><a href="files.html">File List</a></li>
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<li class="navlink"><a href="functions.html">Compound Members</a></li>
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<li class="navlink"><a href="globals.html">File Members</a></li>
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<li class="navlink"><a href="todo.html">Todo List</a></li>
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<li class="navlink"><a href="bug.html">Known Bugs</a></li>
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<li class="navlink"><a href="caveats.html">Caveats</a></li>
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<li class="navlink"><a href="test.html">Test Suite</a></li>
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<li class="navlink"><a href="deprecated.html">Deprecated Features</a></li>
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<li class="navlink"><a href="examples.html">Examples</a></li>
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<!--Doxygen-generated content-->
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<!-- Generated by Doxygen 1.5.2 -->
 
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<div class="nav">
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<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_gap_payoff.html">GapPayoff</a></div>
 
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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_gap_payoff.html">GapPayoff</a></div>
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<h1>GapPayoff Class Reference</h1><!-- doxytag: class="QuantLib::GapPayoff" --><!-- doxytag: inherits="QuantLib::StrikedTypePayoff" --><code>#include &lt;ql/instruments/payoffs.hpp&gt;</code>
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<p>
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Inheritance diagram for GapPayoff:<p><center><img src="class_quant_lib_1_1_gap_payoff__inherit__graph.png" border="0" usemap="#_gap_payoff__inherit__map" alt="Inheritance graph"></center>
 
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<div class="dynheader">
 
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Inheritance diagram for GapPayoff:</div>
 
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<p><center><img src="class_quant_lib_1_1_gap_payoff__inherit__graph.png" border="0" usemap="#_gap_payoff__inherit__map" alt="Inheritance graph"></center>
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<map name="_gap_payoff__inherit__map">
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<area shape="rect" href="class_quant_lib_1_1_striked_type_payoff.html" title="Intermediate class for payoffs based on a fixed strike." alt="" coords="5,156,147,180"><area shape="rect" href="class_quant_lib_1_1_type_payoff.html" title="Intermediate class for put/call payoffs." alt="" coords="28,81,124,105"><area shape="rect" href="class_quant_lib_1_1_payoff.html" title="Abstract base class for option payoffs." alt="" coords="44,7,108,31"></map>
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<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center><a href="class_quant_lib_1_1_gap_payoff-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
 
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<area shape="rect" href="class_quant_lib_1_1_striked_type_payoff.html" title="Intermediate class for payoffs based on a fixed strike." alt="" coords="5,7,144,33"></map>
 
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<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
 
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<p>
 
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<a href="class_quant_lib_1_1_gap_payoff-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
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Binary gap payoff. 
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<p>
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This payoff is equivalent to being a) long a <a class="el" href="class_quant_lib_1_1_plain_vanilla_payoff.html" title="Plain-vanilla payoff.">PlainVanillaPayoff</a> at the first strike (same Call/Put type) and b) short a <a class="el" href="class_quant_lib_1_1_cash_or_nothing_payoff.html" title="Binary cash-or-nothing payoff.">CashOrNothingPayoff</a> at the first strike (same Call/Put type) with cash payoff equal to the difference between the second and the first strike. <dl compact><dt><b><a class="el" href="caveats.html#_caveats000037">Warning:</a></b></dt><dd>this payoff can be negative depending on the strikes </dd></dl>
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<p>
 
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This payoff is equivalent to being a) long a <a class="el" href="class_quant_lib_1_1_plain_vanilla_payoff.html" title="Plain-vanilla payoff.">PlainVanillaPayoff</a> at the first strike (same Call/Put type) and b) short a <a class="el" href="class_quant_lib_1_1_cash_or_nothing_payoff.html" title="Binary cash-or-nothing payoff.">CashOrNothingPayoff</a> at the first strike (same Call/Put type) with cash payoff equal to the difference between the second and the first strike. <dl compact><dt><b><a class="el" href="caveats.html#_caveats000045">Warning:</a></b></dt><dd>this payoff can be negative depending on the strikes </dd></dl>
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<table border="0" cellpadding="0" cellspacing="0">
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<tr><td></td></tr>
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<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
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<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="61e617f8776a667df0f92aa7913641ec"></a><!-- doxytag: member="QuantLib::GapPayoff::GapPayoff" ref="61e617f8776a667df0f92aa7913641ec" args="(Option::Type type, Real strike, Real secondStrike)" -->
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&nbsp;</td><td class="memItemRight" valign="bottom"><b>GapPayoff</b> (Option::Type type, Real strike, Real secondStrike)</td></tr>
 
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&nbsp;</td><td class="memItemRight" valign="bottom"><b>GapPayoff</b> (Option::Type type, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> secondStrike)</td></tr>
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<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8f786b1e34b0db2d7ea74b52f5f36029"></a><!-- doxytag: member="QuantLib::GapPayoff::secondStrike" ref="8f786b1e34b0db2d7ea74b52f5f36029" args="() const" -->
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Real&nbsp;</td><td class="memItemRight" valign="bottom"><b>secondStrike</b> () const</td></tr>
 
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<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="64eedb2ee7b46110f6c2b5e6d3ed025e"></a><!-- doxytag: member="QuantLib::GapPayoff::secondStrike" ref="64eedb2ee7b46110f6c2b5e6d3ed025e" args="() const " -->
 
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<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>&nbsp;</td><td class="memItemRight" valign="bottom"><b>secondStrike</b> () const </td></tr>
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<tr><td colspan="2"><div class="groupHeader">Payoff interface</div></td></tr>
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<tr><td class="memItemLeft" nowrap align="right" valign="top">std::string&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_gap_payoff.html#1d89c28bd42ba9a52da008bb69367171">name</a> () const</td></tr>
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<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="07ffe70037e0a16554c868bcdd8f83b5"></a><!-- doxytag: member="QuantLib::GapPayoff::description" ref="07ffe70037e0a16554c868bcdd8f83b5" args="() const" -->
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std::string&nbsp;</td><td class="memItemRight" valign="bottom"><b>description</b> () const</td></tr>
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<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="87c0e550bbefd59755c7e75e631bcc30"></a><!-- doxytag: member="QuantLib::GapPayoff::operator()" ref="87c0e550bbefd59755c7e75e631bcc30" args="(Real price) const" -->
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Real&nbsp;</td><td class="memItemRight" valign="bottom"><b>operator()</b> (Real price) const</td></tr>
 
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<tr><td class="memItemLeft" nowrap align="right" valign="top">std::string&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_gap_payoff.html#37627d5d5bba7f4a8690c71c2ab3cb07">name</a> () const </td></tr>
 
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<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7b5000e45c1386c4e56ef650f6b0ef5b"></a><!-- doxytag: member="QuantLib::GapPayoff::description" ref="7b5000e45c1386c4e56ef650f6b0ef5b" args="() const " -->
 
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std::string&nbsp;</td><td class="memItemRight" valign="bottom"><b>description</b> () const </td></tr>
 
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<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8e9eb08690dcc10907f3eceb76e90bbe"></a><!-- doxytag: member="QuantLib::GapPayoff::operator()" ref="8e9eb08690dcc10907f3eceb76e90bbe" args="(Real price) const " -->
 
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<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>&nbsp;</td><td class="memItemRight" valign="bottom"><b>operator()</b> (<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> price) const </td></tr>
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<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="896099363a2a409d2485c3ce9e4e4265"></a><!-- doxytag: member="QuantLib::GapPayoff::accept" ref="896099363a2a409d2485c3ce9e4e4265" args="(AcyclicVisitor &amp;)" -->
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virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><b>accept</b> (<a class="el" href="class_quant_lib_1_1_acyclic_visitor.html">AcyclicVisitor</a> &amp;)</td></tr>
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<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
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<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="41d41bf0e3428293d076ce1f4314bf98"></a><!-- doxytag: member="QuantLib::GapPayoff::secondStrike_" ref="41d41bf0e3428293d076ce1f4314bf98" args="" -->
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Real&nbsp;</td><td class="memItemRight" valign="bottom"><b>secondStrike_</b></td></tr>
 
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<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>&nbsp;</td><td class="memItemRight" valign="bottom"><b>secondStrike_</b></td></tr>
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</table>
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<hr><h2>Member Function Documentation</h2>
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<a class="anchor" name="1d89c28bd42ba9a52da008bb69367171"></a><!-- doxytag: member="QuantLib::GapPayoff::name" ref="1d89c28bd42ba9a52da008bb69367171" args="() const" -->
 
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<a class="anchor" name="37627d5d5bba7f4a8690c71c2ab3cb07"></a><!-- doxytag: member="QuantLib::GapPayoff::name" ref="37627d5d5bba7f4a8690c71c2ab3cb07" args="() const " -->
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<p>
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<dl compact><dt><b><a class="el" href="caveats.html#_caveats000061">Warning:</a></b></dt><dd>This method is used for output and comparison between payoffs. It is <b>not</b> meant to be used for writing switch-on-type code. </dd></dl>
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<p>
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Implements <a class="el" href="class_quant_lib_1_1_payoff.html#0d2675713373f2539534cddfcfb22b52">Payoff</a>.
 
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<dl compact><dt><b><a class="el" href="caveats.html#_caveats000072">Warning:</a></b></dt><dd>This method is used for output and comparison between payoffs. It is <b>not</b> meant to be used for writing switch-on-type code. </dd></dl>
 
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<p>Implements <a class="el" href="class_quant_lib_1_1_payoff.html#7f04e718c6856c4d3d77a496b6acad0d">Payoff</a>.</p>
 
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</div>
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Documentation generated by
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<a href="http://www.doxygen.org">Doxygen</a> 1.5.2
 
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<a href="http://www.doxygen.org">Doxygen</a> 1.5.4
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