American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
|
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 PAYOFFCONSTANT_H 00021 #define PAYOFFCONSTANT_H 00022 00023 #include "payoff.h" 00024 00026 class PayoffConstant : public Payoff 00027 { 00028 00029 public: 00030 PayoffConstant (const Portfolio& payoff) : _payoff(payoff) {}; 00031 00032 virtual PayoffConstant* clone() const 00033 { 00034 return new PayoffConstant (_payoff); 00035 } 00036 00037 virtual Portfolio operator()(const Spot& spot) const 00038 { 00039 return _payoff; 00040 } 00041 00042 virtual ~PayoffConstant() {}; 00043 00044 private: 00045 Portfolio _payoff; 00046 }; 00047 00048 std::ostream& operator<< (std::ostream& output, const PayoffConstant& constant); 00049 00050 #endif // PAYOFFCONSTANT_H