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

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Public Member Functions
PayoffButterfly Class Reference

Butterfly spread. More...

`#include <butterfly.h>`

Inheritance diagram for PayoffButterfly:

List of all members.

## Public Member Functions
PayoffButterfly * | clone () const
Portfolio | operator() (const Spot &spot) const
| PayoffButterfly (const coefficient K, const coefficient d)

## Detailed Description

Butterfly spread.

Payoff consists of a long call option with strike , a long call option with strike and two short call options with strike . Delivery of all options is simultaneous and in cash, based on the underlying stock price.

Author:
  Alet Roux <alet.roux@york.ac.uk>

## Constructor & Destructor Documentation

PayoffButterfly::PayoffButterfly | ( | const coefficient | K,
|  | const coefficient | d
| ) |  | `[inline]`

## Member Function Documentation

PayoffButterfly* PayoffButterfly::clone | ( |  | ) | const`[inline, virtual]`

Clone constructor.

Implements Payoff.

Portfolio PayoffButterfly::operator() | ( | const Spot & | spot | ) | const`[inline, virtual]`

Gives payoff of option under given spot price.

Implements Payoff.

The documentation for this class was generated from the following file:

- payoff/butterfly.h

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