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

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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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