American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
callphysicalask.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 PAYOFFCALLPHYSICALASK_H
00021 #define PAYOFFCALLPHYSICALASK_H
00022 
00024 
00025 #include "singlestrike.h"
00026 
00028 
00032 class PayoffCallPhysicalAsk : public PayoffSingleStrike
00033 {
00034 public:
00035         PayoffCallPhysicalAsk (const coefficient strike)
00036                         : PayoffSingleStrike (strike)
00037         {}
00038 
00039         Portfolio operator() (const Spot& spot) const
00040         {
00041                 coefficient payoff = spot.ask()-strike();
00042                 return greaterthan (payoff, 0.0) ? Portfolio (1,-strike()) : Portfolio (0,0);
00043         }
00044 
00045         PayoffCallPhysicalAsk* clone() const
00046         {
00047                 return new PayoffCallPhysicalAsk (*this);
00048         }
00049 };
00050 
00051 std::ostream& operator<< (std::ostream& output, const PayoffCallPhysicalAsk& call);
00052 
00053 #endif // PAYOFFCALLPHYSICALASK_H
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