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

Abstraction of short rate for purposes of discounting. More...

#include <shortrate.h>

Inheritance diagram for ShortRate:
ShortRateContinuous ShortRateDiscrete

List of all members.

Public Member Functions

virtual coefficient accumulate (const coefficient t1, const coefficient t2) const =0
virtual coefficient discount (const coefficient t1, const coefficient t2) const =0

Detailed Description

Abstraction of short rate for purposes of discounting.


Member Function Documentation

virtual coefficient ShortRate::accumulate ( const coefficient  t1,
const coefficient  t2 
) const [pure virtual]

Value at t2 of one unit at time t1.

Implemented in ShortRateContinuous, and ShortRateDiscrete.

virtual coefficient ShortRate::discount ( const coefficient  t1,
const coefficient  t2 
) const [pure virtual]

Value at t1 of one unit at time t2.

Implemented in ShortRateContinuous, and ShortRateDiscrete.


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