PayoffButterfly Class Reference

Butterfly spread. More...

#include <butterfly.h>

Inheritance diagram for PayoffButterfly:

List of all members.

Public Member Functions
PayoffButterfly *	clone () const
Portfolio	operator() (const Spot &spot) const
	PayoffButterfly (const coefficient K, const coefficient d)

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Detailed Description

Butterfly spread.

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

Author:

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

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Constructor & Destructor Documentation

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

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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.

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

• payoff/butterfly.h