PayOff Class Reference

#include <PayOff.h>

List of all members.

Public Member Functions
	PayOff (Real Strike_)
	Default constructor: set Strike.
	PayOff (void)
	void constructor
void	SetStrike (Real Strike_)
virtual Real	operator() (Real Spot) const
	Nice operator for european call options only.
virtual	~PayOff ()
virtual Real	Call (Real Fwd)
	Return the payoff of a call.
virtual Real	Put (Real Fwd)
	Return the payoff of a put.
virtual Real	AsianCall (valarray< Real > Path, LongNatural nDates)
	Return the payoff of an asian call.
virtual Real	AsianPut (valarray< Real > Path, LongNatural nDates)
	Return the payoff of an asian put.
virtual Real	RevLookbackCall (valarray< Real > Path, LongNatural nDates)
	Return the payoff of a look back call.
virtual Real	RevLookbackPut (valarray< Real > Path, LongNatural nDates)
	Return the payoff of a look back put.
virtual Real	BarrierCall (valarray< Real > Path, LongNatural nDates)
	Return the payoff of a barrier call.
virtual Real	BarrierPut (valarray< Real > Path, LongNatural nDates)
	Return the payoff of a barrier put.
virtual Real	FlooredCliquet (Real Spot, Real Fwd)
	Return the payoff of a floor.
virtual Real	CappedCliquet (Real Spot, Real Fwd)
	Return the payoff of a cap.
virtual Real	Rainbow2SpreadOptionMax (Real Fwd1, Real Fwd2, Real W1, Real W2, Real Mult)
virtual Real	Rainbow2AssetsBasketMax (Real Fwd1, Real Fwd2, Real W1, Real W2, Real Mult)
virtual Real	RainbowBestOf2AssetsCash (Real Fwd1, Real Fwd2, Real W1, Real W2)
virtual Real	RainbowWorstOf2AssetsCash (Real Fwd1, Real Fwd2, Real W1, Real W2)
virtual Real	RainbowMax2AssetsCall (Real Fwd1, Real Fwd2, Real W1, Real W2, Real Mult)
virtual Real	RainbowMin2AssetsCall (Real Fwd1, Real Fwd2, Real W1, Real W2, Real Mult)
virtual Real	RainbowMax2AssetsPut (Real Fwd1, Real Fwd2, Real W1, Real W2, Real Mult)
virtual Real	RainbowMin2AssetsPut (Real Fwd1, Real Fwd2, Real W1, Real W2, Real Mult)
virtual Real	Convertible (Real Fwd, Real ConversionRatio, Real BondPrice, Real CallPrice=TN_INFINITY, Real PutPrice=0)
Private Attributes
Real	Strike

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Constructor & Destructor Documentation

PayOff::PayOff (  Real  Strike_  )

Default constructor: set Strike. Definition at line 5 of file PayOff.cpp. References Real.

PayOff::PayOff (  void   )

void constructor Author: Yann Definition at line 9 of file PayOff.cpp.

virtual PayOff::~PayOff (   )  [inline, virtual]

Definition at line 24 of file PayOff.h.

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Member Function Documentation

Real PayOff::AsianCall (  valarray< Real >  Path, LongNatural  nDates )  [virtual]

Return the payoff of an asian call. Definition at line 34 of file PayOff.cpp. References Average(), LongNatural, Real, and Strike. Referenced by MCEngine::RunEngineAsianCall().

Real PayOff::AsianPut (  valarray< Real >  Path, LongNatural  nDates )  [virtual]

Return the payoff of an asian put. Definition at line 39 of file PayOff.cpp. References Average(), LongNatural, Real, and Strike. Referenced by MCEngine::RunEngineAsianPut().

Real PayOff::BarrierCall (  valarray< Real >  Path, LongNatural  nDates )  [virtual]

Return the payoff of a barrier call. Definition at line 54 of file PayOff.cpp. References LongNatural, Real, and Strike. Referenced by MCEngine::RunEngineBarrierCall().

Real PayOff::BarrierPut (  valarray< Real >  Path, LongNatural  nDates )  [virtual]

Return the payoff of a barrier put. Definition at line 62 of file PayOff.cpp. References LongNatural, Real, and Strike. Referenced by MCEngine::RunEngineBarrierPut().

Real PayOff::Call (  Real  Fwd  )  [virtual]

Return the payoff of a call. Definition at line 24 of file PayOff.cpp. References Real, and Strike. Referenced by MCEngine::RunEngineCall(), and binomialTree::runEngineCall().

Real PayOff::CappedCliquet (  Real  Spot, Real  Fwd )  [virtual]

Return the payoff of a cap. Definition at line 77 of file PayOff.cpp. References Real, and Strike. Referenced by MCEngine::RunEngineCappedCliquet().

Real PayOff::Convertible (  Real  Fwd, Real  ConversionRatio, Real  BondPrice, Real  CallPrice = TN_INFINITY, Real  PutPrice = 0 )  [virtual]

Returns: the payoff of a Convertible bond If CallPrice and PutPrice are omitted they are set to infinity and zero respectively so that they don't factor into the calculation Definition at line 124 of file PayOff.cpp. References Real. Referenced by binomialTree::runEngineConvertibleBond().

Real PayOff::FlooredCliquet (  Real  Spot, Real  Fwd )  [virtual]

Return the payoff of a floor. Definition at line 70 of file PayOff.cpp. References Real, and Strike. Referenced by MCEngine::RunEngineFlooredCliquet().

Real PayOff::operator() (  Real  Spot  )  const [virtual]

Nice operator for european call options only. Definition at line 19 of file PayOff.cpp. References Real, and Strike.

Real PayOff::Put (  Real  Fwd  )  [virtual]

Return the payoff of a put. Definition at line 29 of file PayOff.cpp. References Real, and Strike. Referenced by MCEngine::RunEnginePut().

Real PayOff::Rainbow2AssetsBasketMax (  Real  Fwd1, Real  Fwd2, Real  W1, Real  W2, Real  Mult )  [virtual]

Returns: the payoff of a basket option with 2 assets Definition at line 89 of file PayOff.cpp. References Real, and Strike. Referenced by MCEngine::RunEngineRainbow2AssetsBasketMax().

Real PayOff::Rainbow2SpreadOptionMax (  Real  Fwd1, Real  Fwd2, Real  W1, Real  W2, Real  Mult )  [virtual]

Returns: the payoff of a Spread option with 2 assets Definition at line 84 of file PayOff.cpp. References Real, and Strike. Referenced by MCEngine::RunEngineRainbow2SpreadOptionMax().

Real PayOff::RainbowBestOf2AssetsCash (  Real  Fwd1, Real  Fwd2, Real  W1, Real  W2 )  [virtual]

Returns: the payoff of a best of + cash option with 2 assets Definition at line 94 of file PayOff.cpp. References Real, and Strike. Referenced by MCEngine::RunEngineRainbowBestOf2AssetsCash().

Real PayOff::RainbowMax2AssetsCall (  Real  Fwd1, Real  Fwd2, Real  W1, Real  W2, Real  Mult )  [virtual]

Returns: the payoff of a Max call option with 2 assets Definition at line 104 of file PayOff.cpp. References Real, and Strike. Referenced by MCEngine::RunEngineRainbowMax2AssetsCall().

Real PayOff::RainbowMax2AssetsPut (  Real  Fwd1, Real  Fwd2, Real  W1, Real  W2, Real  Mult )  [virtual]

Returns: the payoff of a Max put option with 2 assets Definition at line 114 of file PayOff.cpp. References Real, and Strike. Referenced by MCEngine::RunEngineRainbowMax2AssetsPut().

Real PayOff::RainbowMin2AssetsCall (  Real  Fwd1, Real  Fwd2, Real  W1, Real  W2, Real  Mult )  [virtual]

Returns: the payoff of a Min call option with 2 assets Definition at line 109 of file PayOff.cpp. References Real, and Strike. Referenced by MCEngine::RunEngineRainbowMin2AssetsCall().

Real PayOff::RainbowMin2AssetsPut (  Real  Fwd1, Real  Fwd2, Real  W1, Real  W2, Real  Mult )  [virtual]

Returns: the payoff of a Min put option with 2 assets Definition at line 119 of file PayOff.cpp. References Real, and Strike. Referenced by MCEngine::RunEngineRainbowMin2AssetsPut().

Real PayOff::RainbowWorstOf2AssetsCash (  Real  Fwd1, Real  Fwd2, Real  W1, Real  W2 )  [virtual]

Returns: the payoff of a worst of + cash option with 2 assets Definition at line 99 of file PayOff.cpp. References Real, and Strike. Referenced by MCEngine::RunEngineRainbowWorstOf2AssetsCash().

Real PayOff::RevLookbackCall (  valarray< Real >  Path, LongNatural  nDates )  [virtual]

Return the payoff of a look back call. Definition at line 44 of file PayOff.cpp. References LongNatural, Maximize(), Real, and Strike. Referenced by MCEngine::RunEngineRevLookbackCall().

Real PayOff::RevLookbackPut (  valarray< Real >  Path, LongNatural  nDates )  [virtual]

Return the payoff of a look back put. Definition at line 49 of file PayOff.cpp. References LongNatural, Maximize(), Real, and Strike. Referenced by MCEngine::RunEngineRevLookbackPut().

void PayOff::SetStrike (  Real  Strike_  )

Definition at line 13 of file PayOff.cpp. References Real, and Strike. Referenced by RainbowOption::instanciateMCVariables(), and RainbowOption::RainbowOption().

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Member Data Documentation

Real PayOff::Strike [private]

Definition at line 88 of file PayOff.h. Referenced by AsianCall(), AsianPut(), BarrierCall(), BarrierPut(), Call(), CappedCliquet(), FlooredCliquet(), operator()(), Put(), Rainbow2AssetsBasketMax(), Rainbow2SpreadOptionMax(), RainbowBestOf2AssetsCash(), RainbowMax2AssetsCall(), RainbowMax2AssetsPut(), RainbowMin2AssetsCall(), RainbowMin2AssetsPut(), RainbowWorstOf2AssetsCash(), RevLookbackCall(), RevLookbackPut(), and SetStrike().

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

• PayOff.h
• PayOff.cpp

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