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

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Class List
Here are the classes, structs, unions and interfaces with brief descriptions:

FlexibleTree |
FlexibleTreeBinomial | Flexible binomial tree with proportional transaction costs
FlexibleTreeTrinomial | Flexible trinomial tree with proportional transaction costs
Line | Straight line in two dimensions
Parameter | Abstract parameter class
ParameterBridge | Wrapper class for Parameter
ParameterConstant | Parameter with fixed value
ParameterConstantZeroInitial | Parameter with value 0 at time 0, and fixed value at all other times
ParameterConstantZeroInitialFinal | Parameter with fixed value, except that it is equal to zero both at time 0 and at some other time in the future
ParameterIntegrable | Parameter that is integrable over time
ParameterIntegrableBridge | Wrapper class for ParameterIntegrable
ParameterIntegrableConstant | Parameter with fixed value (where integrability is used)
Payoff | Option payoff consisting of a portfolio of cash and shares
PayoffBasket | Basket option
PayoffBearSpread | Bear spread
PayoffBridge | Wrapper for Payoff
PayoffBullSpread | Bull spread
PayoffButterfly | Butterfly spread
PayoffCallCashAsk | Call option with cash delivery based on ask price
PayoffCallCashBid | Call option with cash delivery based on bid price
PayoffCallCashUnderlying | Call option with cash delivery based on underlying stock price
PayoffCallPhysical | Call option with physical delivery
PayoffCallPhysicalAsk | Call option with physical delivery based on ask price (deprecated)
PayoffCallPhysicalBid | Call option with physical delivery based on bid price (deprecated)
PayoffCallPhysicalUnderlying | Call option with physical delivery based on underlying stock price (deprecated)
PayoffConstant | Option with fixed payoff independent of spot
PayoffMulti | Scalar multiple of Payoff
PayoffNeg | Negates Payoff
PayoffPutCashAsk | Put option with cash delivery based on ask price
PayoffPutCashBid | Put option with cash delivery based on bid price
PayoffPutCashUnderlying | Put option with cash delivery based on underlying price
PayoffPutPhysical | Put option with physical delivery
PayoffPutPhysicalAsk | Put option with physical delivery based on ask price (deprecated)
PayoffPutPhysicalBid | Put option with physical delivery based on bid price (deprecated)
PayoffPutPhysicalUnderlying | Put option with physical delivery based on underlying price (deprecated)
PayoffSingleStrike | Payoff with one strike
PiecewiseLinear | Piecewise linear (affine) function
Portfolio | Holdings of cash and stock
ShortRate | Abstraction of short rate for purposes of discounting
ShortRateContinuous | ShortRate with continuous compounding
ShortRateDiscrete | ShortRate with discrete compounding
Spot | Asset price with proportional transaction costs
SpotMuLambda | Asset price with proportional transaction costs
StatisticsGatherer< T > | Collects statistics in the FlexibleTree class
StatisticsGathererAll< T > | Collects all objects of interest
StatisticsGathererFinal< T > | Collects all objects of interest at final time step only (not tested)
StatisticsGathererInitial< T > | Collects object of interest only at root node
StatisticsGathererPath< T > | Collects paths of objects of interest
StatisticsGathererSome< T > | Collects all objects of interest with paths moving through the specified nodes
TreeProduct | Virtual base class for path-independent European and American options
TreeProductAmerican | TreeProduct methods for American options
TreeProductAmericanBuyer | Prices TreeProductAmerican for the buyer (deprecated)
TreeProductAmericanBuyerOptional | Prices TreeProductAmerican for the buyer
TreeProductAmericanSeller | Prices TreeProductAmerican for the seller (deprecated)
TreeProductAmericanSellerOptional | Prices TreeProductAmerican for the seller
TreeProductEuropean | TreeProduct methods for European options
TreeProductEuropeanBuyer | Prices TreeProductEuropean for the buyer (deprecated)
TreeProductEuropeanBuyerOptional | Prices TreeProductEuropean for the buyer
TreeProductEuropeanSeller | Prices TreeProductEuropean for the seller (deprecated)
TreeProductEuropeanSellerOptional | Prices TreeProductEuropean for the seller
TreeProductExercisable | Encapsulates exercise decision at a particular time and spot
TreeProductRandomExercisable | Encapsulates randomised exercise decision

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