American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
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#include "../config.h"
#include "../trading.h"
Go to the source code of this file.
Classes | |
class | TreeProduct |
Virtual base class for path-independent European and American options. More... | |
Functions | |
coefficient | buyers_price (const PiecewiseLinear ¤t, const Portfolio &holdings) |
coefficient | sellers_price (const PiecewiseLinear ¤t, const Portfolio &holdings) |
coefficient buyers_price | ( | const PiecewiseLinear & | current, |
const Portfolio & | holdings | ||
) | [inline] |
coefficient sellers_price | ( | const PiecewiseLinear & | current, |
const Portfolio & | holdings | ||
) | [inline] |