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 NEG_H 00021 #define NEG_H 00022 00023 //#include "payoff.h" 00024 00026 class PayoffNeg : public Payoff 00027 { 00028 public: 00029 PayoffNeg (const Payoff& payoff) { _payoff = payoff.clone();}; 00030 00031 Portfolio operator() (const Spot& spot) const 00032 { 00033 return -(_payoff->operator() (spot)); 00034 } 00035 00036 PayoffNeg* clone() const 00037 { 00038 return new PayoffNeg (*_payoff); 00039 } 00040 00041 ~PayoffNeg() 00042 { 00043 delete _payoff; 00044 } 00045 00046 private: 00047 Payoff* _payoff; 00048 }; 00049 00050 00051 #endif // NEG_H