American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
ParameterIntegrable Class Reference

Parameter that is integrable over time. More...

#include <integrable.h>

Inheritance diagram for ParameterIntegrable:
Parameter ParameterIntegrableConstant

List of all members.

Public Member Functions

virtual ParameterIntegrableclone () const =0
virtual coefficient integral (const coefficient time1, const coefficient time2) const =0
virtual coefficient integral_square (const coefficient time1, const coefficient time2) const =0
virtual coefficient operator() (const coefficient t) const =0
virtual coefficient root_integral_square (const coefficient time1, const coefficient time2) const =0

Detailed Description

Parameter that is integrable over time.

Inspired by the ParametersInner class in Mark Joshi "Design Patterns and Derivatives Pricing", Cambridge University Press, 2004.

Author:
Alet Roux <alet.roux@york.ac.uk>

Member Function Documentation

virtual ParameterIntegrable* ParameterIntegrable::clone ( ) const [pure virtual]

Clone constructor.

Implements Parameter.

Implemented in ParameterIntegrableConstant.

virtual coefficient ParameterIntegrable::integral ( const coefficient  time1,
const coefficient  time2 
) const [pure virtual]

Integral of parameter from time1 to time2.

Implemented in ParameterIntegrableConstant.

virtual coefficient ParameterIntegrable::integral_square ( const coefficient  time1,
const coefficient  time2 
) const [pure virtual]

Integral of squared parameter from time1 to time2.

Implemented in ParameterIntegrableConstant.

virtual coefficient Parameter::operator() ( const coefficient  t) const [pure virtual, inherited]
virtual coefficient ParameterIntegrable::root_integral_square ( const coefficient  time1,
const coefficient  time2 
) const [pure virtual]

Square root of integral of squared parameter over [time1, time2].

Implemented in ParameterIntegrableConstant.


The documentation for this class was generated from the following file:
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