American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
ShortRateDiscrete Class Reference

ShortRate with discrete compounding. More...

#include <shortratediscrete.h>

Inheritance diagram for ShortRateDiscrete:
ShortRate

List of all members.

Public Member Functions

coefficient accumulate (const coefficient t1, const coefficient t2) const
coefficient discount (const coefficient t1, const coefficient t2) const
 ShortRateDiscrete (const ParameterBridge &effective)

Detailed Description

ShortRate with discrete compounding.


Constructor & Destructor Documentation

ShortRateDiscrete::ShortRateDiscrete ( const ParameterBridge effective) [inline]

Member Function Documentation

coefficient ShortRateDiscrete::accumulate ( const coefficient  t1,
const coefficient  t2 
) const [inline, virtual]

Value at t2 of one unit at time t1.

Implements ShortRate.

coefficient ShortRateDiscrete::discount ( const coefficient  t1,
const coefficient  t2 
) const [inline, virtual]

Value at t1 of one unit at time t2.

Implements ShortRate.


The documentation for this class was generated from the following file:
 All Classes Namespaces Files Functions Variables Typedefs Defines