American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
trading.h File Reference
#include "config.h"
#include "piecewiselinear/piecewiselinear.h"
#include "spot.h"
#include "portfolio.h"

Go to the source code of this file.

Functions

void ensure_solvent (PiecewiseLinear &portfolios, const Spot &spot)
void include_solvent_portfolios (PiecewiseLinear &portfolios, const Spot &spot)
PiecewiseLinear portfolios_that_can_afford (const Portfolio &portfolio, const Spot &spot)
int soluble (const Portfolio &portfolio, const Spot &spot)
PiecewiseLinear solvency_cone (const Spot &spot)
void untangle_restriction (Portfolio &portfolio, const PiecewiseLinear &portfolios, const Spot &spot)

Detailed Description

Utility functions for trading and solvency.


Function Documentation

void ensure_solvent ( PiecewiseLinear portfolios,
const Spot spot 
) [inline]

Restricts a set of portfolios to ensure that they are solvent.

Parameters:
portfoliosPiecewise linear function forming lower bound of collection of portfolios
spotCurrent spot price
void include_solvent_portfolios ( PiecewiseLinear portfolios,
const Spot spot 
) [inline]

Enlarges a set of portfolios to contain all solvent portfolios

Parameters:
portfoliosPiecewise linear function forming lower bound of collection of portfolios
spotCurrent spot price
PiecewiseLinear portfolios_that_can_afford ( const Portfolio portfolio,
const Spot spot 
) [inline]

Returns a piecewise linear convex function whose epigraph is the portfolios from which one can afford portfolio at the price spot.

int soluble ( const Portfolio portfolio,
const Spot spot 
) [inline]

Checks whether portfolio can be converted into a nonnegative amount of cash when the current share price is spot.

PiecewiseLinear solvency_cone ( const Spot spot) [inline]

Returns a piecewise linear convex function whose epigraph is the solvency cone.

void untangle_restriction ( Portfolio portfolio,
const PiecewiseLinear portfolios,
const Spot spot 
) [inline]

Adjusts portfolio, which is assumed to be in the epigraph of portfolios.restrict(-spot.ask(), -spot.bid()) (this is not tested!), in a self-financing way so that it is in the epigraph of portfolios.

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