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

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constant.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 #ifndef PAYOFFCONSTANT_H
    00021 #define PAYOFFCONSTANT_H
    00022
    00023 #include "payoff.h"
    00024
    00026 class PayoffConstant : public Payoff
    00027 {
    00028
    00029 public:
    00030     PayoffConstant (const Portfolio& payoff) : _payoff(payoff) {};
    00031
    00032     virtual PayoffConstant* clone() const
    00033     {
    00034       return new PayoffConstant (_payoff);
    00035     }
    00036
    00037     virtual Portfolio operator()(const Spot& spot) const
    00038     {
    00039       return _payoff;
    00040     }
    00041
    00042     virtual ~PayoffConstant() {};
    00043
    00044   private:
    00045     Portfolio _payoff;
    00046 };
    00047
    00048 std::ostream& operator<< (std::ostream& output, const PayoffConstant& constant);
    00049
    00050 #endif // PAYOFFCONSTANT_H

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