American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
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Asset price with proportional transaction costs. More...
#include <spot.h>
Public Member Functions | |
coefficient | ask () const |
coefficient | bid () const |
Spot (const coefficient bid, const coefficient underlying, const coefficient ask) | |
Spot (const coefficient &underlying=NAN) | |
coefficient | underlying () const |
Asset price with proportional transaction costs.
Spot::Spot | ( | const coefficient & | underlying = NAN | ) | [inline] |
Spot::Spot | ( | const coefficient | bid, |
const coefficient | underlying, | ||
const coefficient | ask | ||
) | [inline] |
coefficient Spot::ask | ( | ) | const [inline] |
Price at which asset may be bought.
coefficient Spot::bid | ( | ) | const [inline] |
Price at which asset may be sold.
coefficient Spot::underlying | ( | ) | const [inline] |
Underlying asset price.