/usr/include/ql/instruments/payoffs.hpp is in libquantlib0-dev 1.4-2+b1.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2003, 2006 Ferdinando Ametrano
Copyright (C) 2006 Warren Chou
Copyright (C) 2006, 2008 StatPro Italia srl
Copyright (C) 2006 Chiara Fornarola
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file payoffs.hpp
\brief Payoffs for various options
*/
#ifndef quantlib_payoffs_hpp
#define quantlib_payoffs_hpp
#include <ql/option.hpp>
#include <ql/payoff.hpp>
namespace QuantLib {
//! Dummy %payoff class
class NullPayoff : public Payoff {
public:
//! \name Payoff interface
//@{
std::string name() const;
std::string description() const;
Real operator()(Real price) const;
virtual void accept(AcyclicVisitor&);
//@}
};
//! Intermediate class for put/call payoffs
class TypePayoff : public Payoff {
public:
Option::Type optionType() const { return type_; };
//! \name Payoff interface
//@{
std::string description() const;
//@}
protected:
TypePayoff(Option::Type type) : type_(type) {}
Option::Type type_;
};
////! Intermediate class for payoffs based on a fixed strike
//class StrikedPayoff : public Payoff {
// public:
// StrikedPayoff(Real strike) : strike_(strike) {}
// Real strike() const { return strike_; };
// //! \name Payoff interface
// //@{
// std::string description() const;
// //@}
// protected:
// Real strike_;
//};
//! %Payoff based on a floating strike
class FloatingTypePayoff : public TypePayoff {
public:
FloatingTypePayoff(Option::Type type) : TypePayoff(type) {}
//! \name Payoff interface
//@{
std::string name() const { return "FloatingType";}
Real operator()(Real price) const;
virtual void accept(AcyclicVisitor&);
//@}
};
//! Intermediate class for payoffs based on a fixed strike
class StrikedTypePayoff : public TypePayoff
//, public StrikedPayoff
{
public:
//! \name Payoff interface
//@{
std::string description() const;
//@}
Real strike() const { return strike_; };
protected:
StrikedTypePayoff(Option::Type type,
Real strike)
: TypePayoff(type), strike_(strike) {}
Real strike_;
};
//! Plain-vanilla payoff
class PlainVanillaPayoff : public StrikedTypePayoff {
public:
PlainVanillaPayoff(Option::Type type,
Real strike)
: StrikedTypePayoff(type, strike) {}
//! \name Payoff interface
//@{
std::string name() const { return "Vanilla";}
Real operator()(Real price) const;
virtual void accept(AcyclicVisitor&);
//@}
};
//! %Payoff with strike expressed as percentage
class PercentageStrikePayoff : public StrikedTypePayoff {
public:
PercentageStrikePayoff(Option::Type type,
Real moneyness)
: StrikedTypePayoff(type, moneyness) {}
//! \name Payoff interface
//@{
std::string name() const { return "PercentageStrike";}
Real operator()(Real price) const;
virtual void accept(AcyclicVisitor&);
//@}
};
/*! 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)
*/
//! Binary asset-or-nothing payoff
class AssetOrNothingPayoff : public StrikedTypePayoff {
public:
AssetOrNothingPayoff(Option::Type type,
Real strike)
: StrikedTypePayoff(type, strike) {}
//! \name Payoff interface
//@{
std::string name() const { return "AssetOrNothing";}
Real operator()(Real price) const;
virtual void accept(AcyclicVisitor&);
//@}
};
//! Binary cash-or-nothing payoff
class CashOrNothingPayoff : public StrikedTypePayoff {
public:
CashOrNothingPayoff(Option::Type type,
Real strike,
Real cashPayoff)
: StrikedTypePayoff(type, strike), cashPayoff_(cashPayoff) {}
//! \name Payoff interface
//@{
std::string name() const { return "CashOrNothing";}
std::string description() const;
Real operator()(Real price) const;
virtual void accept(AcyclicVisitor&);
//@}
Real cashPayoff() const { return cashPayoff_;}
protected:
Real cashPayoff_;
};
//! Binary gap payoff
/*! This payoff is equivalent to being a) long a PlainVanillaPayoff at
the first strike (same Call/Put type) and b) short a
CashOrNothingPayoff at the first strike (same Call/Put type) with
cash payoff equal to the difference between the second and the first
strike.
\warning this payoff can be negative depending on the strikes
*/
class GapPayoff : public StrikedTypePayoff {
public:
GapPayoff(Option::Type type,
Real strike,
Real secondStrike) // a.k.a. payoff strike
: StrikedTypePayoff(type, strike), secondStrike_(secondStrike) {}
//! \name Payoff interface
//@{
std::string name() const { return "Gap";}
std::string description() const;
Real operator()(Real price) const;
virtual void accept(AcyclicVisitor&);
//@}
Real secondStrike() const { return secondStrike_;}
protected:
Real secondStrike_;
};
//! 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
*/
class SuperFundPayoff : public StrikedTypePayoff {
public:
SuperFundPayoff(Real strike,
Real secondStrike)
: StrikedTypePayoff(Option::Call, strike),
secondStrike_(secondStrike) {
QL_REQUIRE(strike>0.0,
"strike (" << strike << ") must be "
"positive");
QL_REQUIRE(secondStrike>strike,
"second strike (" << secondStrike << ") must be "
"higher than first strike (" << strike << ")");
}
//! \name Payoff interface
//@{
std::string name() const { return "SuperFund";}
Real operator()(Real price) const;
virtual void accept(AcyclicVisitor&);
//@}
Real secondStrike() const { return secondStrike_;}
protected:
Real secondStrike_;
};
//! Binary supershare payoff
class SuperSharePayoff : public StrikedTypePayoff {
public:
SuperSharePayoff(Real strike,
Real secondStrike,
Real cashPayoff)
: StrikedTypePayoff(Option::Call, strike),
secondStrike_(secondStrike),
cashPayoff_(cashPayoff){
QL_REQUIRE(secondStrike>strike,
"second strike (" << secondStrike << ") must be "
"higher than first strike (" << strike << ")");}
//! \name Payoff interface
//@{
std::string name() const { return "SuperShare";}
std::string description() const;
Real operator()(Real price) const;
virtual void accept(AcyclicVisitor&);
//@}
Real strike() const { return strike_; };
Real secondStrike() const { return secondStrike_;}
Real cashPayoff() const { return cashPayoff_;}
protected:
Real strike_;
Real secondStrike_;
Real cashPayoff_;
};
}
#endif
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