Class GapPayoff

Namespace

NanoQL.Instruments

Assembly

NanoQL.dll

The binary gap payoff.

public sealed class GapPayoff : StrikedTypePayoff

Inheritance

object

Payoff

TypePayoff

StrikedTypePayoff

GapPayoff

Inherited Members

StrikedTypePayoff.Strike

TypePayoff.OptionType

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

It is equivalent to being long a PlainVanillaPayoff at the first strike (of the same type) and short a CashOrNothingPayoff at the first strike (of the same type) whose cash payoff is the difference between the second and the first strike. It can be negative depending on the strikes.

Constructors

GapPayoff(OptionType, double, double)

Initializes a new instance of the GapPayoff class.

public GapPayoff(OptionType type, double strike, double secondStrike)

Parameters

type OptionType

Call or put.

strike double

The strike that decides whether the payoff is paid.

secondStrike double

The strike the payoff is measured from, a.k.a. the payoff strike.

Exceptions

ArgumentOutOfRangeException

type isn't a member of its type.

Properties

Description

Gets the payoff's description: the striked payoff's, then the second strike ("…, 90 strike payoff").

public override string Description { get; }

Property Value

string

Name

Gets the payoff's name.

public override string Name { get; }

Property Value

string

Remarks

Used for output and comparison between payoffs. It is not meant to be used for writing switch-on-type code.

SecondStrike

Gets the strike the payoff is measured from, a.k.a. the payoff strike.

public double SecondStrike { get; }

Property Value

double

Methods

Evaluate(double)

The payoff at the given price: where the option is in the money or at the money, the call's price − second strike or the put's second strike − price; otherwise 0.

public override double Evaluate(double price)

Parameters

price double

The underlying's price.

Returns

double

The payoff.