Class BasketPayoff

Namespace

NanoQL.Instruments

Assembly

NanoQL.dll

The payoff of a basket option: a one-dimensional payoff applied to a value accumulated from the assets' prices.

public abstract class BasketPayoff : Payoff

Inheritance

object

Payoff

BasketPayoff

Derived

AverageBasketPayoff

MaxBasketPayoff

MinBasketPayoff

SpreadBasketPayoff

Inherited Members

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

An extension point, as in QuantLib: the minimum, maximum, average and spread payoffs derive from it, and later multi-asset options define their own. The assets' prices come as a ReadOnlySpan<T>, which takes an array, a Vector's storage or a stack buffer alike, so the path pricers and the finite-difference inner values pass their buffers without a copy, where QuantLib's members take an Array.

The payoff is immutable and safe to share across threads.

Constructors

BasketPayoff(Payoff)

Initializes a new instance of the BasketPayoff class.

protected BasketPayoff(Payoff basePayoff)

Parameters

basePayoff Payoff

The one-dimensional payoff applied to the accumulated value.

Exceptions

ArgumentNullException

basePayoff is null.

Properties

BasePayoff

Gets the one-dimensional payoff applied to the accumulated value.

public Payoff BasePayoff { get; }

Property Value

Payoff

Description

Gets the base payoff's description.

public override string Description { get; }

Property Value

string

Name

Gets the base payoff's name.

public override string Name { get; }

Property Value

string

Methods

Accumulate(ReadOnlySpan<double>)

The value the payoff accumulates from the assets' prices.

public abstract double Accumulate(ReadOnlySpan<double> a)

Parameters

a ReadOnlySpan<double>

The assets' prices.

Returns

double

The accumulated value.

Exceptions

ArgumentException

The payoff refuses the prices.

Evaluate(double)

The base payoff at a price.

public override double Evaluate(double price)

Parameters

price double

The price.

Returns

double

The base payoff's value.

Evaluate(ReadOnlySpan<double>)

The payoff at the assets' prices: the base payoff at their accumulated value.

public virtual double Evaluate(ReadOnlySpan<double> a)

Parameters

a ReadOnlySpan<double>

The assets' prices.

Returns

double

The payoff.

Exceptions

ArgumentException

The accumulation refuses the prices.