American-transaction costs 1.0.0.0 American option pricer under proportional transaction costs

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multi.h
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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 PAYOFFMULTI_H
    00021 #define PAYOFFMULTI_H
    00022
    00023 //#include "payoff.h"
    00024
    00026
    00030 class PayoffMulti : public Payoff
    00031 {
    00032 public:
    00033         PayoffMulti (const PayoffMulti& payoff)
    00034         {
    00035                 _multiple = payoff._multiple;
    00036                 _payoff = payoff._payoff->clone();
    00037         }
    00038
    00039         PayoffMulti (const coefficient multiple, const Payoff& payoff)
    00040                         : _multiple (multiple)
    00041         {
    00042                 _payoff = payoff.clone();
    00043         }
    00044
    00045         PayoffMulti (const Payoff& payoff)
    00046                         : _multiple (1.0)
    00047         {
    00048                 _payoff = payoff.clone();
    00049         }
    00050
    00051         Portfolio operator() (const Spot& spot) const
    00052         {
    00053                 return (_payoff->operator() (spot) *=_multiple);
    00054         }
    00055
    00056         PayoffMulti* clone() const
    00057         {
    00058                 return new PayoffMulti (*this);
    00059         }
    00060
    00061         ~PayoffMulti()
    00062         {
    00063                 delete _payoff;
    00064         }
    00065
    00066 private:
    00067         coefficient _multiple;
    00068         Payoff* _payoff;
    00069 };
    00070
    00071 #endif // PAYOFFMULTI_H

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