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

- Main Page
- Namespaces
- Classes
- Files
- Directories

- Class List
- Class Index
- Class Hierarchy
- Class Members

Public Member Functions
ShortRateDiscrete Class Reference

ShortRate with discrete compounding. More...

`#include <shortratediscrete.h>`

Inheritance diagram for ShortRateDiscrete:

List of all members.

## Public Member Functions
coefficient | accumulate (const coefficient t1, const coefficient t2) const
coefficient | discount (const coefficient t1, const coefficient t2) const
| ShortRateDiscrete (const ParameterBridge &effective)

## Detailed Description

ShortRate with discrete compounding.

## Constructor & Destructor Documentation

ShortRateDiscrete::ShortRateDiscrete | ( | const ParameterBridge & | effective | ) | `[inline]`

## Member Function Documentation

coefficient ShortRateDiscrete::accumulate | ( | const coefficient | t1,
|  | const coefficient | t2
| ) |  | const`[inline, virtual]`

Value at t2 of one unit at time t1.

Implements ShortRate.

coefficient ShortRateDiscrete::discount | ( | const coefficient | t1,
|  | const coefficient | t2
| ) |  | const`[inline, virtual]`

Value at t1 of one unit at time t2.

Implements ShortRate.

The documentation for this class was generated from the following file:

- shortratediscrete.h

All Classes Namespaces Files Functions Variables Typedefs Defines