Clafied payoff-name

ahudde · Jan 6, 2024 · 2ba930d · 2ba930d
1 parent d0922b1
commit 2ba930d
Showing 1 changed file with 2 additions and 2 deletions.
diff --git a/R/Malliavin_European_Greeks.R b/R/Malliavin_European_Greeks.R
@@ -73,10 +73,10 @@ Malliavin_European_Greeks <-
     payoff <- function(x) {
       return(pmax(0, exercise_price-x))
     }
-  } else if (payoff == "digital_call") {
+  } else if (payoff %in% c("digital_call", "cash_or_nothing_call")) {
     payoff <- function(x) {ifelse(x >= exercise_price, 1, 0)
     }
-  } else if (payoff == "digital_put") {
+  } else if (payoff %in% c("digital_put", "cash_or_nothing_put")) {
     payoff <- function(x) {ifelse(x <= exercise_price, 1, 0)
     }
   }