An Instrument; see the hierarchy under GenInstrument.

An Option; see the hierarchy under GenInstrument.

An Option; see the hierarchy under GenInstrument.

An Option; see the hierarchy under GenInstrument.

An OneAssetOption; see the hierarchy under GenInstrument.

An OneAssetOption; see the hierarchy under GenInstrument.

A MultiAssetOption; see the hierarchy under GenInstrument.

A MultiAssetOption; see the hierarchy under GenInstrument.

An OneAssetOption; see the hierarchy under GenInstrument.

An OneAssetOption; see the hierarchy under GenInstrument.

An OneAssetOption; see the hierarchy under GenInstrument.

An OneAssetOption; see the hierarchy under GenInstrument.

An OneAssetOption; see the hierarchy under GenInstrument.

An OneAssetOption; see the hierarchy under GenInstrument.

Exercise
 American
 Early
 Vanilla
 EuropeanExercise
 BermudanExercise
   SwingExercise
 Rebated (wraps another Exercise)

Use swingExerice to construct Exercise

use strikedPayoff to construct Payoff

use plainVanillaPayoff to construct Payoff

use percentageStrikePayoff to construct Payoff

Payoff
 DoubleStickyRatchet
 ForwardType
 RatchettMax
 RatchetMin
 StickyMax
 StickyMin
 Sticky
 Custom
 TypePayoff
   Floating
   Striked
     AssetOrNothing
     CashOrNothing
     Gap
     PercentageStrike
     PlainVanilla
     SuperFund
     SuperSharePayoff
     CustomStriked
 BasketPayoff
   Average
   AverageMultiple
   Max
   Min
   Spread
   CustomAccumulate

Wrap a Haskell price -> value function as a real QuantLib Payoff, usable anywhere a Payoff is (QuantLib.Instrument.Option.oneAssetOption, multiAssetOption, QuantLib.Instrument.Swap.varianceOption, QuantLib.Method.fdmLogInnerValue, fdmCellAveragingInnerValue, ...) -- the fully custom counterpart to the concrete pre-implemented payoffs listed by the Payoff constructors above.

The payoff is valid only inside the continuation, and the continuation must span the whole use, not just the construction: every consumer stores the payoff and calls back into it later (an Instrument at NPV time, an FdmInnerValueCalculator at fdmSolve time), so pricing must happen before this function returns. Same lifetime rule, and the same reason, as QuantLib.Method.withCustomFdmInnerValueCalculator.

name and description are what QuantLib's own error messages and Payoff::name report; they are not interpreted.

Not every engine accepts a non-standard payoff. QuantLib's analytic, binomial, finite- difference and MCEuropeanEngine families all recover the strike by downcasting to StrikedTypePayoff/PlainVanillaPayoff first, and a further ~30 engines route through BlackCalculator, whose AcyclicVisitor knows only the four built-in striked payoffs. Most of these fail with a clean QuantLib exception, but QuantLib.PricingEngine.fdBlackScholesVanillaEngine and QuantLib.PricingEngine.fdHestonVanillaEngine perform that downcast unchecked upstream and will crash the process, not throw, on a custom payoff. Confirmed-generic consumers: QuantLib.Method.fdmLogInnerValue/fdmCellAveragingInnerValue (and hence fdmSolve), and QuantLib.PricingEngine.mcAmericanEngine with controlVariate = False.

As withCustomPayoff, but produces a real QuantLib StrikedTypePayoff carrying an (optionType, strike) pair alongside the Haskell function.

The pair is advisory: it does not define the payoff -- payoff(price) alone does, exactly as for withCustomPayoff. It exists because QuantLib's finite-difference vanilla engines reach past the Payoff interface for a strike when sizing their grid: FdBlackScholesVanillaEngine dynamic_pointer_casts to StrikedTypePayoff without a check and calls strike() twice -- once for the mesher's extent, once for its node-concentration point -- then hands the payoff itself to FdmLogInnerValue, which takes a plain Payoff. So a payoff built here prices correctly through fdBlackScholesVanillaEngine and fdHestonVanillaEngine, where one built by withCustomPayoff would crash the process on that unchecked cast. Pass the strike you want the grid centred on.

Everything else matches withCustomPayoff, including the continuation-lifetime rule: the payoff is valid only inside the continuation, which must span the whole use (pricing included), not just construction. description is not a parameter here -- StrikedTypePayoff derives it from the type and strike itself.

Engines routing through BlackCalculator (the analytic* family) still reject this, as they must: its AcyclicVisitor knows only the four built-in striked payoffs, and there is no closed-form price for an arbitrary function. That rejection is a clean QuantLib exception.

Wrap a Haskell underlyings -> accumulated function as a real QuantLib BasketPayoff around base (which is applied to the accumulated value, exactly as for Max/Min/Spread) -- usable with QuantLib.Instrument.Option.basketOption and QuantLib.Method.fdmLogBasketInnerValue. Same continuation-lifetime rule as withCustomPayoff; unlike it, this callback crosses once per evaluation with the whole underlying-state vector, because that is the shape BasketPayoff::accumulate already has upstream.

Barrier option on a single asset.

Barrier option on a single asset that is only monitored for part of its life (a partial-time barrier).

Double-barrier option on a single asset, with a lower and an upper barrier.

Soft barrier option on a single asset: knocked in/out proportionally over a barrier range [barrierLo, barrierHi], rather than in full at a single hard barrier. European exercise only.

Forward-starting (strike-resetting) version of a vanilla option.

Compound option (an option on another option) on a single asset. The mother option is the compound option itself; the daughter option is its underlying.

Margrabe option on two assets: the right to exchange Q2 units of the second asset for Q1 units of the first at expiration.

Simple chooser option on a single asset: the holder chooses, on the choosing date, whether the option is a call or a put; both share the same strike and exercise date.

Complex chooser option: on the choosing date the holder selects between a call and a put with independent strikes and exercise dates.

Two-asset correlation option: pays a payoff based on the second asset's value against strike2 at exercise, but only if the first asset is also in the money against strike1; otherwise pays 0.

Writer-extensible option on a single asset: if out of the money at the first exercise, it is extended to a second exercise with an amended payoff.

Holder-extensible option: the holder may pay premium at the first exercise to replace its payoff with an option at secondExpiryDate and secondStrike.

Base construction for an option on multiple assets.

Base construction for an option on a single asset.

Quanto version of a barrier option on a single asset.

Quanto version of a double-barrier option on a single asset, with a lower and an upper barrier.

Quanto version of a forward-starting (strike-resetting) vanilla option.

Quanto version of a vanilla option on a single asset.

Barrier option on two assets: the first asset's value is compared to the strike to determine the payoff, while the second asset's value is monitored against the barrier.

Vanilla option (no discrete dividends, no barriers) on a single asset.

Basket option on a number of assets, combined by the given basket payoff (e.g. minmaxspread/average).

Cliquet (ratchet) option: a series of forward-starting options where each period's strike is set to a fixed percentage of the spot price at the start of that period.

Continuous-averaging Asian option on a single asset, for an unseasoned (fresh) option where averaging has not yet started.

Continuous-fixed lookback option: the payoff uses the fixed strike against the minimum/maximum price observed over the option's life.

Continuous-floating lookback option: the strike is set to the minimum/maximum price observed over the option's life.

Partial-time fixed-strike lookback option: the lookback period runs from lookbackPeriodStart to expiry, cheaper than a full fixed lookback. Priced analytically by Heynen and Kat (1994).

Partial-time floating-strike lookback option: the lookback period runs from inception to lookbackPeriodEnd, cheaper than a full floating lookback. lambda scales the strike relative to the observed extremum. Priced analytically by Heynen and Kat (1994).

The excess return over guarantee, realized on the worst-performing of a basket of assets and paid out on notional at exercise.

Discrete-averaging Asian option on a single asset, taking the running sum/product of past fixings plus a list of future fixing dates.

Storage option (e.g. a gas storage facility): a payoff-free instrument exercisable on a Bermudan schedule, with a maximum capacity, load/withdrawal rate, and per-period rate of change.

Swing option: a payoff exercisable a bounded number of times (between minExerciseRights and maxExerciseRights) at the dates of a SwingExercise.

European (single-exercise-date) vanilla option on a single asset.

Implied Black-Scholes volatility that reproduces the given price for a DoubleBarrierOption; see VanillaOption's implied-volatility for the caveats on reliability.

Implied Black-Scholes volatility that reproduces the given price for a SoftBarrierOption; see VanillaOption's implied-volatility for the caveats on reliability.

Sensitivity of a MargrabeOption's value to the price of the first asset.

Sensitivity of a MargrabeOption's value to the price of the second asset.

Second derivative of a MargrabeOption's value with respect to the price of the first asset.

Second derivative of a MargrabeOption's value with respect to the price of the second asset.

Sensitivity of the option's value to the forward price of the underlying.

Percentage change in the option's value per percentage change in the underlying price.

Probability of the option expiring in-the-money in a cash-or-nothing sense.

Sensitivity of the option's value to the strike price.

Theta divided by the number of days elapsed per day (as opposed to per year).

The realized yield on the notional, i.e. NPV/(notional*discount) - 1.