American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
butterfly.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 PAYOFFBUTTERFLY_H
00021 #define PAYOFFBUTTERFLY_H
00022 
00023 //#include "payoff.h"
00024 
00026 
00030 class PayoffButterfly : public Payoff
00031 {
00032 public:
00033         PayoffButterfly (const coefficient K, const coefficient d)
00034                         : _K (K), _d (d)
00035         {}
00036 
00037         Portfolio operator() (const Spot& spot) const
00038         {
00039                 if (greaterthan (spot.underlying(),_K+_d) || lessthan (spot.underlying(),_K-_d))
00040                         return Portfolio (0,0);
00041 
00042                 if (greaterthan (_K, spot.underlying()))
00043                         return Portfolio (0, spot.underlying() - _K + _d);
00044 
00045                 return Portfolio (0, _K + _d - spot.underlying());
00046         }
00047 
00048         PayoffButterfly* clone() const
00049         {
00050                 return new PayoffButterfly (*this);
00051         }
00052 
00053 private:
00054         coefficient _K, _d;
00055 };
00056 
00057 #endif // PAYOFFBUTTERFLY_H
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