American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
PayoffButterfly Class Reference

Butterfly spread. More...

#include <butterfly.h>

Inheritance diagram for PayoffButterfly:
Payoff

List of all members.

Public Member Functions

PayoffButterflyclone () const
Portfolio operator() (const Spot &spot) const
 PayoffButterfly (const coefficient K, const coefficient d)

Detailed Description

Butterfly spread.

Payoff consists of a long call option with strike $ K-d $, a long call option with strike $ K+d $ and two short call options with strike $ K $. Delivery of all options is simultaneous and in cash, based on the underlying stock price.

Author:
Alet Roux <alet.roux@york.ac.uk>

Constructor & Destructor Documentation

PayoffButterfly::PayoffButterfly ( const coefficient  K,
const coefficient  d 
) [inline]

Member Function Documentation

PayoffButterfly* PayoffButterfly::clone ( ) const [inline, virtual]

Clone constructor.

Implements Payoff.

Portfolio PayoffButterfly::operator() ( const Spot spot) const [inline, virtual]

Gives payoff of option under given spot price.

Implements Payoff.


The documentation for this class was generated from the following file:
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