org.jquantlib.instruments

Class CashOrNothingPayoff

java.lang.Object

org.jquantlib.instruments.Payoff

org.jquantlib.instruments.TypePayoff

org.jquantlib.instruments.StrikedTypePayoff

org.jquantlib.instruments.CashOrNothingPayoff

All Implemented Interfaces:

PolymorphicVisitable

public class CashOrNothingPayoff
extends StrikedTypePayoff

Binary cash-or-nothing payoff which pays off nothing if the underlying asset price finishes below/above the strike price , or pays out a predetermined constant amount if the underlying asset finishes above/below the strike price.

Definitions of Binary path-independent payoffs can be found in M. Rubinstein, E. Reiner:"Unscrambling The Binary Code", Risk, Vol.4 no.9,1991.

See Also:

Binary Options

Constructor Summary

Constructors

Constructor and Description
CashOrNothingPayoff(Option.Type type, double strike, double cashPayoff) Constructs a typed Payoff with a fixed strike price and the policy of a cash-or-nothing payoff

Method Summary

Modifier and Type	Method and Description
void	accept(PolymorphicVisitor pv) This method is intended to extend the semantics of method Visitable.accept(Visitor)
java.lang.String	description()
double	get(double price) Returns the value of an Instrument at maturity under Payoff conditions
double	getCashPayoff()
java.lang.String	name()

Methods inherited from class org.jquantlib.instruments.StrikedTypePayoff

strike

Methods inherited from class org.jquantlib.instruments.TypePayoff

optionType

Methods inherited from class org.jquantlib.instruments.Payoff

toString

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, wait, wait, wait

Constructor Detail

CashOrNothingPayoff

public CashOrNothingPayoff(Option.Type type,
                           double strike,
                           double cashPayoff)

Constructs a typed Payoff with a fixed strike price and the policy of a cash-or-nothing payoff

Parameters:

type - is an Option.Type

strike - is the strike price

cashPayoff - is the cash payoff value

Method Detail

getCashPayoff

public final double getCashPayoff()

Returns:

the cash payoff value

name

public java.lang.String name()

Specified by:

name in class Payoff

description

public java.lang.String description()

Overrides:

description in class StrikedTypePayoff

get

public final double get(double price)

Returns the value of an Instrument at maturity under Payoff conditions

Pays off nothing if the underlying asset price finishes below/above the strike price , or pays out a predermined constant amount if the underlying asset finishes above/below the strike price.

CALL Option: if , otherwise zero PUT Option: if , otherwise zero where is the asset price at maturity and is the predetermined cash payoff

Specified by:

get in class Payoff

accept

public void accept(PolymorphicVisitor pv)

Description copied from interface: PolymorphicVisitable

This method is intended to extend the semantics of method Visitable.accept(Visitor)

In a conventional Visitor design pattern, the accept method is called when access to visit a data structure is requested. A Visitor object is passed as argument in case permission is granted to that Visitor to access the data structure. Obviously, Visitors and Visitables work in pairs and the class which provides the data structure to be visited also implements Visitable in order to properly grant access when the expected Visitor is received.

In the case of a PolymorphicVisitable, a PolymorphicVisitor is passed instead of a Visitor. A PolymorphicVisitor is in fact, a composition of Visitors and not only a single Visitor. A PolymorphicVisitor is responsible for returning the correct Visitor responsible for processing a certain data structure.

The initial design of pairs made of <Visitor,Visitable> is extended to a concept of a matrix made of multiple Visitors against multiple Visitables. Every class which implements PolymorphicVisitable passes different data structures when querying PolymorphicVisitors.

Specified by:

accept in interface PolymorphicVisitable

Overrides:

accept in class Payoff

See Also:

PolymorphicVisitor#getVisitor(Class)