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

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FlexibleTree Member List
This is the complete list of members for FlexibleTree, including all inherited members.

accumulate(const size_t n) const | FlexibleTree | `[inline]`
discount(const size_t n) const | FlexibleTree | `[inline]`
drift(const size_t n) const | FlexibleTree | `[inline]`
dt() const | FlexibleTree | `[inline]`
EMM_exercise_function(const TreeProductAmericanSeller &product, const StatisticsGathererPath< Spot > &gather_spot, const StatisticsGathererSome< PiecewiseLinear > &gather_current_hedge, const StatisticsGathererPath< PiecewiseLinear > &gather_future_hedge, StatisticsGathererSome< coefficient > &value, StatisticsGathererPath< coefficient > &chi, StatisticsGathererSome< coefficient > &x, StatisticsGathererPath< coefficient > &y, StatisticsGathererPath< coefficient > &S, StatisticsGathererSome< coefficient > &p, StatisticsGatherer< Portfolio > &strategy, const coefficient shares=0.0) const | FlexibleTree |
exercise_function(const TreeProductAmericanBuyer &product, const StatisticsGathererPath< Spot > &gather_spot, const StatisticsGathererPath< Portfolio > &strategy, StatisticsGathererPath< int > &decision) const | FlexibleTree |
FlexibleTree(const coefficient &S, const ParameterIntegrableBridge &sigma, const ParameterIntegrableBridge &kappa_sigma_square, const ShortRate &r, const ParameterBridge &mu, const ParameterBridge &lambda, const size_t N, const coefficient &T) | FlexibleTree |
hedge(const size_t scenario, const TreeProduct &product, const coefficient shares=0.0) const | FlexibleTree | `[inline]`
hedge(const path_type &path, const TreeProduct &product, const coefficient shares=0.0) const | FlexibleTree |
hedging_function(const TreeProduct &product, const StatisticsGathererPath< Spot > &gather_spot, const PiecewiseLinear &current_hedge, const StatisticsGathererPath< PiecewiseLinear > &gather_future_hedge, StatisticsGathererPath< Portfolio > &strategy, const coefficient shares=0.0) const | FlexibleTree |
jump(const size_t n) const | FlexibleTree | `[inline]`
lambda(const size_t n) const | FlexibleTree | `[inline]`
logS() const | FlexibleTree | `[inline]`
mu(const size_t n) const | FlexibleTree | `[inline]`
N() const | FlexibleTree | `[inline]`
nodes(const size_t n) const =0 | FlexibleTree | `[pure virtual]`
path(const size_t scenario) const =0 | FlexibleTree | `[pure virtual]`
price(const TreeProduct &product, const Portfolio &wealth=Portfolio(0, 0)) const | FlexibleTree | `[inline]`
pricing_function(const TreeProduct &product, StatisticsGatherer< Spot > &gather_spot, StatisticsGatherer< PiecewiseLinear > &gather_current_hedge, StatisticsGatherer< PiecewiseLinear > &gather_future_hedge) const | FlexibleTree |
scenario(const path_type &path) const =0 | FlexibleTree | `[pure virtual]`
scenarios() const =0 | FlexibleTree | `[pure virtual]`
spot(const size_t n) const | FlexibleTree | `[inline]`
spot_function(const size_t n, std::vector< Spot > &spot) const =0 | FlexibleTree | `[pure virtual]`
spot_path(const size_t scenario) const | FlexibleTree | `[inline]`
spot_path(const path_type &course) const | FlexibleTree | `[inline]`
spot_path_function(StatisticsGathererPath< Spot > &gather_spot) const =0 | FlexibleTree | `[pure virtual]`
successors(const size_t n, const size_t k) const | FlexibleTree | `[inline]`
successors_function(const size_t n, const size_t k, path_type &successors) const =0 | FlexibleTree | `[pure virtual]`
T() const | FlexibleTree | `[inline]`
with_siblings(const path_type &path) const | FlexibleTree | `[inline]`

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