American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
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Parameter that is integrable over time. More...
#include <integrable.h>
Public Member Functions | |
virtual ParameterIntegrable * | clone () 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 |
Parameter that is integrable over time.
Inspired by the ParametersInner class in Mark Joshi "Design Patterns and Derivatives Pricing", Cambridge University Press, 2004.
virtual ParameterIntegrable* ParameterIntegrable::clone | ( | ) | const [pure virtual] |
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] |
Current value at time t.
Implemented in ParameterConstant, ParameterConstantZeroInitial, ParameterConstantZeroInitialFinal, and ParameterIntegrableConstant.
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.