American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
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00001 /* 00002 American option pricer under proportional transaction costs 00003 Copyright (C) 2011 Alet Roux alet.roux@york.ac.uk 00004 00005 This program is free software: you can redistribute it and/or modify 00006 it under the terms of the GNU General Public License as published by 00007 the Free Software Foundation, either version 3 of the License, or 00008 (at your option) any later version. 00009 00010 This program is distributed in the hope that it will be useful, 00011 but WITHOUT ANY WARRANTY; without even the implied warranty of 00012 MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the 00013 GNU General Public License for more details. 00014 00015 You should have received a copy of the GNU General Public License 00016 along with this program. If not, see <http://www.gnu.org/licenses/>. 00017 00018 */ 00019 00020 #ifndef NUMBERS_H 00021 #define NUMBERS_H 00022 00028 #include <math.h> 00029 00030 #define EPSILON 1e-10 00031 00032 #define NUMWIDTH 10 00033 00035 typedef long double coefficient; 00036 //typedef unsigned int size_t; 00037 00039 inline int greaterthan (const coefficient x1, const coefficient x2) 00040 { 00041 if (x1 >= EPSILON + x2) 00042 return 1; 00043 00044 return 0; 00045 } 00046 00048 inline int lessthan (const coefficient x1, const coefficient x2) 00049 { 00050 return greaterthan (x2, x1); 00051 } 00052 00054 inline int greaterequal (const coefficient x1, const coefficient x2) 00055 { 00056 if (x1 >= -EPSILON + x2) 00057 return 1; 00058 00059 return 0; 00060 } 00061 00063 inline int lessequal (const coefficient x1, const coefficient x2) 00064 { 00065 return greaterequal (x2,x1); 00066 } 00067 00069 inline int equal (const coefficient x1, const coefficient x2) 00070 { 00071 return (greaterequal (x1,x2)) && lessequal (x1,x2); 00072 } 00073 00075 inline void fixzero (coefficient& number) 00076 { 00077 if (!isnan (number) && equal (number, 0.0)) 00078 number = 0.0; 00079 } 00080 00081 #endif