American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
TreeProductAmericanSellerOptional Member List
This is the complete list of members for TreeProductAmericanSellerOptional, including all inherited members.
current_price(const PiecewiseLinear &current, const Portfolio &holdings=Portfolio(0, 0)) const TreeProductAmericanSeller [inline, virtual]
expiry() const TreeProduct [inline]
final_hedge(const Spot &spot) const TreeProductAmericanSellerOptional [inline, virtual]
interim_hedge(const coefficient time, const Spot &spot, const PiecewiseLinear &future_hedge) const TreeProductAmericanSeller [inline, virtual]
next_portfolio(const coefficient t, const Spot &spot, const PiecewiseLinear &future_hedge, const Portfolio &current_portfolio) const TreeProduct [inline]
payoff(const coefficient &t, const Spot &spot) const TreeProductAmerican [inline]
payoff_hedge(const coefficient &t, const Spot &spot) const TreeProductAmerican [inline]
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 TreeProductAmericanSellerOptional [inline, virtual]
TreeProduct(const coefficient expiry)TreeProduct [inline]
TreeProductAmerican(const coefficient expiry, const PayoffBridge &payoff)TreeProductAmerican [inline]
TreeProductAmericanSeller(const coefficient expiry, const PayoffBridge &payoff)TreeProductAmericanSeller [inline]
TreeProductAmericanSellerOptional(const coefficient expiry, const PayoffBridge &payoff)TreeProductAmericanSellerOptional [inline]
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