American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
neg.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 NEG_H
00021 #define NEG_H
00022 
00023 //#include "payoff.h"
00024 
00026 class PayoffNeg : public Payoff
00027 {
00028 public:
00029         PayoffNeg (const Payoff& payoff) { _payoff = payoff.clone();};
00030 
00031         Portfolio operator() (const Spot& spot) const
00032         {
00033                 return -(_payoff->operator() (spot));
00034         }
00035 
00036         PayoffNeg* clone() const
00037         {
00038                 return new PayoffNeg (*_payoff);
00039         }
00040 
00041         ~PayoffNeg()
00042         {
00043                 delete _payoff;
00044         }
00045 
00046 private:
00047         Payoff* _payoff;
00048 };
00049 
00050 
00051 #endif // NEG_H
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