American-transaction costs 1.0.0.0 American option pricer under proportional transaction costs

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bridge.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 PAYOFFBRIDGE_H
    00021 #define PAYOFFBRIDGE_H
    00022
    00025 #include "payoff.h"
    00026
    00027 #include "neg.h"
    00028
    00029 class PayoffBasket;
    00030
    00031
    00037
    00038
    00042 class PayoffBridge
    00043 {
    00044 public:
    00045         PayoffBridge (const PayoffBridge& original) { _payoff = original._payoff->clone(); }
    00046
    00047         PayoffBridge (const Payoff& payoff) { _payoff = payoff.clone(); }
    00048
    00050         Portfolio operator() (const Spot& spot) const { return _payoff->operator() (spot); }
    00051
    00053         PayoffBridge& operator= (const PayoffBridge& original)
    00054         {
    00055                 if (this != &original)
    00056                 {
    00057                         delete _payoff;
    00058                         _payoff = original._payoff->clone();
    00059                 }
    00060
    00061                 return *this;
    00062         }
    00063
    00065         PayoffBridge& operator-() const
    00066         {
    00067                 return *(new PayoffBridge(PayoffNeg (*_payoff)));
    00068         }
    00069
    00070         ~PayoffBridge() { delete _payoff; }
    00071
    00072 protected:
    00073
    00074         Payoff* _payoff;
    00075 };
    00076
    00077 #endif // PAYOFFBRIDGE_H

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