American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
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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 RANDOMEXERCISABLE_H 00021 #define RANDOMEXERCISABLE_H 00022 00023 //#include "../numbers.h" 00024 //#include "../spot.h" 00025 //#include "../piecewiselinear/piecewiselinear.h" 00026 //#include "../portfolio.h" 00027 00029 class TreeProductRandomExercisable 00030 { 00034 virtual coefficient random_exercise (const coefficient t, const Spot& spot, const PiecewiseLinear& current_hedge, const PiecewiseLinear& future_hedge, const coefficient x, coefficient& y, coefficient& S, const Portfolio &portfolio) const = 0; 00035 }; 00036 00037 #endif // RANDOMEXERCISABLE_H