American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
bearspread.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 PAYOFFBEARSPREAD_H
00021 #define PAYOFFBEARSPREAD_H
00022 
00023 //#include "payoff.h"
00024 
00026 
00030 class PayoffBearSpread : public Payoff
00031 {
00032         public:
00033                 PayoffBearSpread (const coefficient K, const coefficient L)
00034         : _K (K), _L (L)
00035                 {}
00036 
00037                 Portfolio operator() (const Spot& spot) const
00038                 {
00039                         if (lessthan (spot.underlying(),_K))
00040                                 return Portfolio (0, _L - _K);
00041 
00042                         if (lessthan (_L, spot.underlying()))
00043                                 return Portfolio (0, 0);
00044 
00045                         return Portfolio (0, _L - spot.underlying());
00046                 }
00047 
00048                 PayoffBearSpread* clone() const
00049                 {
00050                         return new PayoffBearSpread (*this);
00051                 }
00052 
00053         private:
00054                 coefficient _K, _L;
00055 };
00056 
00057 #endif // PAYOFFBEARSPREAD_H
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