American-transaction costs 1.0.0.0 American option pricer under proportional transaction costs

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european.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 EUROPEAN_H
    00021 #define EUROPEAN_H
    00022
    00023 //#include "treeproduct.h"
    00024
    00025 //#include "../piecewiselinear/piecewiselinear.h"
    00026 //#include "../spot.h"
    00027 //#include "../payoff/bridge.h"
    00028
    00029 #include "../config.h"
    00030
    00032 class TreeProductEuropean : public TreeProduct
    00033 {
    00034   public:
    00035         TreeProductEuropean (const coefficient expiry, const PayoffBridge& payoff) : TreeProduct (expiry), _payoff (payoff) {};
    00036
    00044         PiecewiseLinear interim_hedge (const coefficient t, const Spot& spot, const PiecewiseLinear& future_hedge) const
    00045         {
    00046           #ifdef USE_ASSERT
    00047           assert (t<expiry());
    00048           #endif
    00049           PiecewiseLinear current = future_hedge;
    00050           current.restrict_slope (-spot.ask(), -spot.bid());
    00051           return current;
    00052         };
    00053
    00054         Portfolio payoff (const Spot& spot) const
    00055         {
    00056           return _payoff(spot);
    00057         }
    00058
    00059         PiecewiseLinear payoff_hedge (const Spot& spot) const
    00060         {
    00061           return portfolios_that_can_afford (payoff(spot), spot);
    00062         }
    00063
    00064 private:
    00065         PayoffBridge _payoff;
    00066 };
    00067
    00068 #endif // EUROPEAN_H

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