American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
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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 TREEPRODUCT_EUROPEAN_BUYER_H 00021 #define TREEPRODUCT_EUROPEAN_BUYER_H 00022 00023 #include "europeanbuyer.h" 00024 //#include "../trading.h" 00025 00027 00031 class TreeProductEuropeanBuyerOptional : public TreeProductEuropeanBuyer 00032 { 00033 00034 public: 00035 TreeProductEuropeanBuyerOptional (const coefficient expiry, const PayoffBridge& payoff) : TreeProductEuropeanBuyer (expiry, payoff) {}; 00036 00037 PiecewiseLinear final_hedge (const Spot& spot) const 00038 { 00039 PiecewiseLinear hedge = payoff_hedge (spot); 00040 include_solvent_portfolios (hedge, spot); 00041 return hedge; 00042 }; 00043 00044 int exercise (const Spot& spot, const Portfolio& current_portfolio) const 00045 { 00046 if (lessthan (current_portfolio.cash(), payoff_hedge (spot) (current_portfolio.shares()))) 00047 return 0; 00048 00049 return 1; 00050 }; 00051 }; 00052 00053 00054 #endif // TREEPRODUCT_EUROPEAN_BUYER_H