TreeProduct methods for American options
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#include <american.h>
List of all members.
Public Member Functions |
virtual coefficient | current_price (const PiecewiseLinear ¤t, const Portfolio &holdings=Portfolio(0, 0)) const =0 |
coefficient | expiry () const |
virtual PiecewiseLinear | final_hedge (const Spot &spot) const =0 |
virtual PiecewiseLinear | interim_hedge (const coefficient t, const Spot &spot, const PiecewiseLinear &future_hedge) const =0 |
Portfolio | next_portfolio (const coefficient t, const Spot &spot, const PiecewiseLinear &future_hedge, const Portfolio ¤t_portfolio) const |
Portfolio | payoff (const coefficient &t, const Spot &spot) const |
PiecewiseLinear | payoff_hedge (const coefficient &t, const Spot &spot) const |
| TreeProductAmerican (const coefficient expiry, const PayoffBridge &payoff) |
Detailed Description
TreeProduct methods for American options
Constructor & Destructor Documentation
Member Function Documentation
coefficient TreeProduct::expiry |
( |
| ) |
const [inline, inherited] |
virtual PiecewiseLinear TreeProduct::final_hedge |
( |
const Spot & |
spot | ) |
const [pure virtual, inherited] |
Finds set of portfolios that hedges the payoff of the option at time t and in the future
- Parameters:
-
t | Time |
spot | Price of underlying asset |
future_hedge | Piecewise linear function whose epigraph consist of portfolios that hedge the option at all future time steps |
- Returns:
- Piecewise linear function that gives the lower boundary of set of hedging portfolios
Implemented in TreeProductAmericanBuyer, TreeProductAmericanSeller, and TreeProductEuropean.
Given a portfolio that hedges at the current time, computes a portfolio into which the trader can enter that hedges at all future times
- Parameters:
-
t | Time |
spot | Price of underlying asset |
future_hedge | Piecewise linear function whose epigraph consist of portfolios that hedge the option at all future time steps |
current_portfolio | Current portfolio. Must correspond to a point in the epigraph of interim_hedge(t, spot, future_hedge) (this is not checked). |
- Returns:
- Portfolio that will hedge the product over the next time step.
Finds set of portfolios that hedges the option at any time t before expiry.
- Parameters:
-
t | Current time |
spot | Price of underlying asset |
- Returns:
- Piecewise linear function that gives the lower boundary of set of hedging portfolios
The documentation for this class was generated from the following file: