American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
europeanbuyeroptional.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 TREEPRODUCT_EUROPEAN_BUYER_H
00021 #define TREEPRODUCT_EUROPEAN_BUYER_H
00022 
00023 #include "europeanbuyer.h"
00024 //#include "../trading.h"
00025 
00027 
00031 class TreeProductEuropeanBuyerOptional : public TreeProductEuropeanBuyer
00032 {
00033 
00034 public:
00035         TreeProductEuropeanBuyerOptional (const coefficient expiry, const PayoffBridge& payoff) : TreeProductEuropeanBuyer (expiry, payoff) {};
00036 
00037         PiecewiseLinear final_hedge (const Spot& spot) const
00038         {
00039           PiecewiseLinear hedge = payoff_hedge (spot);
00040           include_solvent_portfolios (hedge, spot);
00041           return hedge;
00042         };
00043 
00044         int exercise (const Spot& spot, const Portfolio& current_portfolio) const
00045         {
00046           if (lessthan (current_portfolio.cash(), payoff_hedge (spot) (current_portfolio.shares())))
00047                 return 0;
00048 
00049           return 1;
00050         };
00051 };
00052 
00053 
00054 #endif // TREEPRODUCT_EUROPEAN_BUYER_H
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