American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
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Scalar multiple of Payoff. More...
#include <multi.h>
Public Member Functions | |
PayoffMulti * | clone () const |
Portfolio | operator() (const Spot &spot) const |
PayoffMulti (const PayoffMulti &payoff) | |
PayoffMulti (const coefficient multiple, const Payoff &payoff) | |
PayoffMulti (const Payoff &payoff) | |
~PayoffMulti () |
Scalar multiple of Payoff.
Inspired by the PayoffBridge class in Joshi, M. "Design Patterns and Derivatives Pricing", Cambridge University Press, 2004.
PayoffMulti::PayoffMulti | ( | const PayoffMulti & | payoff | ) | [inline] |
PayoffMulti::PayoffMulti | ( | const coefficient | multiple, |
const Payoff & | payoff | ||
) | [inline] |
PayoffMulti::PayoffMulti | ( | const Payoff & | payoff | ) | [inline] |
PayoffMulti::~PayoffMulti | ( | ) | [inline] |
PayoffMulti* PayoffMulti::clone | ( | ) | const [inline, virtual] |
Clone constructor.
Implements Payoff.
Gives payoff of option under given spot price.
Implements Payoff.