American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
config.h
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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 
00025 
00026 #define USE_ASSERT
00027 #ifdef USE_ASSERT
00028     #include <assert.h>
00029 #endif
00030 
00032 #define VERBOSE_UNTANGLE_RESTRICTION
00033 #ifdef VERBOSE_UNTANGLE_RESTRICTION
00034     #include <iostream>
00035 #endif
00036 
00038 #define VERBOSE_PIECEWISELINEAR_CHECK
00039 
00041 #define VERBOSE_PIECEWISELINEAR_RESTRICT_SLOPE
00042 
00044 #define VERBOSE_PIECEWISELINEAR_MAXIMUM
00045 
00047 #define VERBOSE_PIECEWISELINEAR_CROSSING
00048 
00050 #define VERBOSE_PIECEWISELINEAR_UNTANGLE_MAXIMUM
00051 
00053 #define VERBOSE_FLEXIBLETREE_EMM_EXERCISE_FUNCTION
00054 #ifdef VERBOSE_FLEXIBLETREE_EMM_EXERCISE_FUNCTION
00055     #include <iostream>
00056 #endif
00057 
00059 #define VERBOSE_FLEXIBLETREE_HEDGING_FUNCTION
00060 #ifdef VERBOSE_FLEXIBLETREE_HEDGING_FUNCTION
00061 #define VERBOSE_UNTANGLE_RESTRICTION
00062 #endif
00063 
00065 #define VERBOSE_FLEXIBLETREE_EXERCISE_FUNCTION
00066 #ifdef VERBOSE_FLEXIBLETREE_EXERCISE_FUNCTION
00067     #include <iostream>
00068     #define VERBOSE_TREEPRODUCT_AMERICANBUYER_EXERCISE
00069 #endif
00070 
00072 #define VERBOSE_FLEXIBLETREE_PRICING_FUNCTION
00073 #ifdef VERBOSE_FLEXIBLETREE_PRICING_FUNCTION
00074     #include <iostream>
00075 #endif
00076 
00078 #define VERBOSE_TREEPRODUCT_AMERICANBUYER_EXERCISE
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