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

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spot.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 SPOT_H
    00021 #define SPOT_H
    00022
    00023 #include <ostream>
    00024 #include "numbers.h"
    00025
    00031
    00032
    00036 class Spot
    00037 {
    00038 public:
    00039         Spot (const coefficient& underlying = NAN)
    00040                         : _bid (underlying), _ask (underlying), _underlying (underlying)
    00041         {}
    00042
    00043         Spot (const coefficient bid, const coefficient underlying, const coefficient ask)
    00044                         : _bid (bid), _ask (ask), _underlying (underlying)
    00045         {}
    00046
    00048         inline coefficient bid() const;
    00049
    00051         inline coefficient ask() const;
    00052
    00054         inline coefficient underlying() const;
    00055
    00056 private:
    00057         coefficient _bid, _ask, _underlying;
    00058
    00059 };
    00060
    00061 coefficient Spot::bid() const
    00062 {
    00063         return _bid;
    00064 }
    00065
    00066 coefficient Spot::ask() const
    00067 {
    00068         return _ask;
    00069 };
    00070
    00071 coefficient Spot::underlying() const
    00072 {
    00073         return _underlying;
    00074 };
    00075
    00076 std::ostream& operator<< (std::ostream& output, const Spot& spot);
    00077
    00078
    00079 #endif // SPOT_H

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