American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
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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 00021 #ifndef PARAMETERINTEGRABLECONSTANT_H 00022 #define PARAMETERINTEGRABLECONSTANT_H 00023 00024 #include "integrable.h" 00025 00027 class ParameterIntegrableConstant : public ParameterIntegrable 00028 { 00029 public: 00030 ParameterIntegrableConstant (const coefficient value); 00031 00032 coefficient operator()(const coefficient time) const; 00033 ParameterIntegrableConstant* clone() const; 00034 00035 coefficient integral (const coefficient time1, const coefficient time2) const; 00036 coefficient integral_square (const coefficient time1, const coefficient time2) const; 00037 coefficient root_integral_square (const coefficient time1, const coefficient time2) const; 00038 00039 private: 00040 coefficient _value, _squared; 00041 }; 00042 00043 #endif // PARAMETERINTEGRABLECONSTANT_H