American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
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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 PARAMETERINTEGRABLE_H 00021 #define PARAMETERINTEGRABLE_H 00022 00023 #include "parameter.h" 00024 00026 00030 class ParameterIntegrable : public Parameter 00031 { 00032 public: 00033 virtual ParameterIntegrable* clone() const = 0; 00034 00036 virtual coefficient integral (const coefficient time1, const coefficient time2) const = 0; 00037 00039 virtual coefficient integral_square (const coefficient time1, const coefficient time2) const = 0; 00040 00042 virtual coefficient root_integral_square (const coefficient time1, const coefficient time2) const = 0; 00043 }; 00044 00045 #endif // PARAMETERINTEGRABLE_H