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

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integrableconstant.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
    00021 #ifndef PARAMETERINTEGRABLECONSTANT_H
    00022 #define PARAMETERINTEGRABLECONSTANT_H
    00023
    00024 #include "integrable.h"
    00025
    00027 class ParameterIntegrableConstant : public ParameterIntegrable
    00028 {
    00029 public:
    00030         ParameterIntegrableConstant (const coefficient value);
    00031
    00032         coefficient operator()(const coefficient time) const;
    00033         ParameterIntegrableConstant* clone() const;
    00034
    00035         coefficient integral (const coefficient time1, const coefficient time2) const;
    00036         coefficient integral_square (const coefficient time1, const coefficient time2) const;
    00037         coefficient root_integral_square (const coefficient time1, const coefficient time2) const;
    00038
    00039 private:
    00040         coefficient _value, _squared;
    00041 };
    00042
    00043 #endif // PARAMETERINTEGRABLECONSTANT_H

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