American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
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ShortRate with discrete compounding. More...
#include <shortratediscrete.h>
Public Member Functions | |
coefficient | accumulate (const coefficient t1, const coefficient t2) const |
coefficient | discount (const coefficient t1, const coefficient t2) const |
ShortRateDiscrete (const ParameterBridge &effective) |
ShortRate with discrete compounding.
ShortRateDiscrete::ShortRateDiscrete | ( | const ParameterBridge & | effective | ) | [inline] |
coefficient ShortRateDiscrete::accumulate | ( | const coefficient | t1, |
const coefficient | t2 | ||
) | const [inline, virtual] |
Value at t2 of one unit at time t1.
Implements ShortRate.
coefficient ShortRateDiscrete::discount | ( | const coefficient | t1, |
const coefficient | t2 | ||
) | const [inline, virtual] |
Value at t1 of one unit at time t2.
Implements ShortRate.