American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
shortrate.h
Go to the documentation of this file.
00001 /*
00002     <one line to give the program's name and a brief idea of what it does.>
00003     Copyright (C) <year>  <name of author>
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 SHORTRATE_H
00021 #define SHORTRATE_H
00022 
00023 #include "numbers.h"
00024 
00030 
00031 class ShortRate
00032 {
00033 public:
00035         virtual coefficient discount (const coefficient t1, const coefficient t2) const = 0;
00036 
00038         virtual coefficient accumulate (const coefficient t1, const coefficient t2) const = 0;
00039 };
00040 
00041 #endif // SHORTRATE_H
 All Classes Namespaces Files Functions Variables Typedefs Defines