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 PAYOFFSINGLESTRIKE_H 00021 #define PAYOFFSINGLESTRIKE_H 00022 00023 #include "payoff.h" 00024 00026 class PayoffSingleStrike : public Payoff 00027 { 00028 public: 00029 PayoffSingleStrike (const coefficient strike) 00030 : _strike (strike) 00031 {} 00032 00034 inline coefficient strike() const 00035 { 00036 return _strike; 00037 } 00038 00039 private: 00040 coefficient _strike; 00041 }; 00042 00043 #endif // PAYOFFSINGLESTRIKE_H