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

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callcashunderlying.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 PAYOFFCALLCASHUNDERLYING_H
    00021 #define PAYOFFCALLCASHUNDERLYING_H
    00022
    00024
    00025 #include "singlestrike.h"
    00026
    00028
    00032 class PayoffCallCashUnderlying : public PayoffSingleStrike
    00033 {
    00034 public:
    00035         PayoffCallCashUnderlying (const coefficient strike)
    00036                         : PayoffSingleStrike (strike)
    00037         {}
    00038
    00039         Portfolio operator() (const Spot& spot) const
    00040         {
    00041                 coefficient payoff = spot.underlying()-strike();
    00042                 return greaterthan (payoff, 0.0) ? Portfolio (0,payoff) : Portfolio (0,0);
    00043         }
    00044
    00045         PayoffCallCashUnderlying* clone() const
    00046         {
    00047                 return new PayoffCallCashUnderlying (*this);
    00048         }
    00049
    00050 };
    00051
    00052 std::ostream& operator<< (std::ostream& output, const PayoffCallCashUnderlying& call);
    00053
    00054 #endif // PAYOFFCALLCASHUNDERLYING_H

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