Payoff__Payoff_Type

Each payoff type is designed to apply to one or more cash flows being paid in the context of a particular transaction.

Cash flows generally depend on the value realized by one or more well defined random variables.

Examples of such random variables are the price of a particular stock or the 10-year USD swap rate realized at some specific time, which should not be later than the time when the respective cash flow is paid.

As a demonstration consider the single cash flow that occurs at the expiry of a european Stock Option.

In that case the cash flow depends on a single variable, which is the price of the underlying stock.

Knowledge of the value realized by this variable on the expiry time implies knowledge of the cash flow amount, provided the rules defining an option contract are known.

Generally speaking, each payoff type is the set of rules that define how the referenced random variables should be transformed into a cash flow amount according to the contract's specifications.

Note that in certain cases the actually paid amount might involve further transformations, which amounts to a series of payoffs, each applying on the result of the previous one.

Available

In the call case the payoff amount simply equals the referenced variable

In the put case the payoff equals

The name

Either getting the asset or getting nothing.

The formal definition is as follows:

Furthermore

In the call case the payoff amount simply equals

In the put case the payoff equals

The name

Either getting the cash amount

The formal definition is as follows:

Furthermore

In the call case the payoff equals the referenced variable

In the put case the payoff equals minus the referenced variable

The formal definition is as follows:

This is similar to Payoff::Payoff Type::Vanilla with the twist that there now exist two strikes

A payoff amount is only paid if the referenced variable

The exact amount of that payoff - in case it occurs - is unrelated to

It equals

This payoff is equivalent to being a) long a Vanilla payoff at the first strike (same Call/Put type) and b) short a Cash Or Nothing payoff 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.

The formal definition is as follows:

Furthermore

This is similar to Payoff::Payoff Type::Vanilla with the twist that the strike

The call payoff thus becomes

In the usual case where

The put payoff is given by

Effectively this payoff behaves in reality more like the Payoff::Payoff Type::Floating, albeit with a coefficient

The formal definition is as follows:

Furthermore

The name

The payoff is given by

It is further assumed that

Furthermore

Defining the

As

European options having this payoff can be priced using

This payoff depends on two strikes

The payoff amount equals

Superfund sometimes is 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 Asset Or Nothing Call (Put) at the lower strike and b) short (long) an Asset Or Nothing Call (Put) at the higher strike.

The formal definition is as follows:

This payoff depends on two strikes

The payoff amount equals

Supershare sometimes is also called "Superfund", 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.

The formal definition is as follows:

In the call case the payoff equals the amount by which the referenced variable

The payoff is zero if

In the put case, everything is reversed so that

The formal definition is as follows:

Furthermore