American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
Spot Class Reference

Asset price with proportional transaction costs. More...

#include <spot.h>

Inheritance diagram for Spot:
SpotMuLambda

List of all members.

Public Member Functions

coefficient ask () const
coefficient bid () const
 Spot (const coefficient bid, const coefficient underlying, const coefficient ask)
 Spot (const coefficient &underlying=NAN)
coefficient underlying () const

Detailed Description

Asset price with proportional transaction costs.

Asset can be bought at ask() price and sold at bid() price.

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

Constructor & Destructor Documentation

Spot::Spot ( const coefficient underlying = NAN) [inline]
Spot::Spot ( const coefficient  bid,
const coefficient  underlying,
const coefficient  ask 
) [inline]

Member Function Documentation

coefficient Spot::ask ( ) const [inline]

Price at which asset may be bought.

coefficient Spot::bid ( ) const [inline]

Price at which asset may be sold.

coefficient Spot::underlying ( ) const [inline]

Underlying asset price.


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