American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
european.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 EUROPEAN_H
00021 #define EUROPEAN_H
00022 
00023 //#include "treeproduct.h"
00024 
00025 //#include "../piecewiselinear/piecewiselinear.h"
00026 //#include "../spot.h"
00027 //#include "../payoff/bridge.h"
00028 
00029 #include "../config.h"
00030 
00032 class TreeProductEuropean : public TreeProduct
00033 {
00034   public:
00035         TreeProductEuropean (const coefficient expiry, const PayoffBridge& payoff) : TreeProduct (expiry), _payoff (payoff) {};
00036 
00044         PiecewiseLinear interim_hedge (const coefficient t, const Spot& spot, const PiecewiseLinear& future_hedge) const
00045         {
00046           #ifdef USE_ASSERT
00047           assert (t<expiry());
00048           #endif
00049           PiecewiseLinear current = future_hedge;
00050           current.restrict_slope (-spot.ask(), -spot.bid());
00051           return current;
00052         };
00053 
00054         Portfolio payoff (const Spot& spot) const
00055         {
00056           return _payoff(spot);
00057         }
00058 
00059         PiecewiseLinear payoff_hedge (const Spot& spot) const
00060         {
00061           return portfolios_that_can_afford (payoff(spot), spot);
00062         }
00063 
00064 private:
00065         PayoffBridge _payoff;
00066 };
00067 
00068 #endif // EUROPEAN_H
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