American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
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#include <bridge.h>
Public Member Functions | |
Portfolio | operator() (const Spot &spot) const |
PayoffBridge & | operator- () const |
PayoffBridge & | operator= (const PayoffBridge &original) |
PayoffBridge (const Payoff &payoff) | |
PayoffBridge (const PayoffBridge &original) | |
~PayoffBridge () | |
Protected Attributes | |
Payoff * | _payoff |
Wrapper for Payoff.
Takes care of Payoff memory management. Based on the PayoffBridge class in Joshi, M. "Design Patterns and Derivatives Pricing", Cambridge University Press, 2004.
PayoffBridge::PayoffBridge | ( | const PayoffBridge & | original | ) | [inline] |
PayoffBridge::PayoffBridge | ( | const Payoff & | payoff | ) | [inline] |
PayoffBridge::~PayoffBridge | ( | ) | [inline] |
PayoffBridge& PayoffBridge::operator- | ( | ) | const [inline] |
Negation operator.
PayoffBridge& PayoffBridge::operator= | ( | const PayoffBridge & | original | ) | [inline] |
Assignment operator.
Payoff* PayoffBridge::_payoff [protected] |