American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
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accumulate(const size_t n) const | FlexibleTree | [inline] |
discount(const size_t n) const | FlexibleTree | [inline] |
drift(const size_t n) const | FlexibleTree | [inline] |
dt() const | FlexibleTree | [inline] |
EMM_exercise_function(const TreeProductAmericanSeller &product, const StatisticsGathererPath< Spot > &gather_spot, const StatisticsGathererSome< PiecewiseLinear > &gather_current_hedge, const StatisticsGathererPath< PiecewiseLinear > &gather_future_hedge, StatisticsGathererSome< coefficient > &value, StatisticsGathererPath< coefficient > &chi, StatisticsGathererSome< coefficient > &x, StatisticsGathererPath< coefficient > &y, StatisticsGathererPath< coefficient > &S, StatisticsGathererSome< coefficient > &p, StatisticsGatherer< Portfolio > &strategy, const coefficient shares=0.0) const | FlexibleTree | |
exercise_function(const TreeProductAmericanBuyer &product, const StatisticsGathererPath< Spot > &gather_spot, const StatisticsGathererPath< Portfolio > &strategy, StatisticsGathererPath< int > &decision) const | FlexibleTree | |
FlexibleTree(const coefficient &S, const ParameterIntegrableBridge &sigma, const ParameterIntegrableBridge &kappa_sigma_square, const ShortRate &r, const ParameterBridge &mu, const ParameterBridge &lambda, const size_t N, const coefficient &T) | FlexibleTree | |
FlexibleTreeTrinomial(const coefficient &S, const ParameterIntegrableBridge &sigma, const ParameterIntegrableBridge &kappa_sigma_square, const ShortRate &r, const ParameterBridge &mu, const ParameterBridge &lambda, const size_t N, const coefficient &T) | FlexibleTreeTrinomial | |
hedge(const size_t scenario, const TreeProduct &product, const coefficient shares=0.0) const | FlexibleTree | [inline] |
hedge(const path_type &path, const TreeProduct &product, const coefficient shares=0.0) const | FlexibleTree | |
hedging_function(const TreeProduct &product, const StatisticsGathererPath< Spot > &gather_spot, const PiecewiseLinear ¤t_hedge, const StatisticsGathererPath< PiecewiseLinear > &gather_future_hedge, StatisticsGathererPath< Portfolio > &strategy, const coefficient shares=0.0) const | FlexibleTree | |
jump(const size_t n) const | FlexibleTree | [inline] |
lambda(const size_t n) const | FlexibleTree | [inline] |
logS() const | FlexibleTree | [inline] |
mu(const size_t n) const | FlexibleTree | [inline] |
N() const | FlexibleTree | [inline] |
nodes(const size_t n) const | FlexibleTreeTrinomial | [virtual] |
path(const size_t scenario) const | FlexibleTreeTrinomial | [virtual] |
price(const TreeProduct &product, const Portfolio &wealth=Portfolio(0, 0)) const | FlexibleTree | [inline] |
pricing_function(const TreeProduct &product, StatisticsGatherer< Spot > &gather_spot, StatisticsGatherer< PiecewiseLinear > &gather_current_hedge, StatisticsGatherer< PiecewiseLinear > &gather_future_hedge) const | FlexibleTree | |
scenario(const path_type &path) const | FlexibleTreeTrinomial | [virtual] |
scenarios() const | FlexibleTreeTrinomial | [virtual] |
spot(const size_t n) const | FlexibleTree | [inline] |
spot_function(const size_t n, std::vector< Spot > &spot) const | FlexibleTreeTrinomial | [virtual] |
spot_path(const size_t scenario) const | FlexibleTree | [inline] |
spot_path(const path_type &course) const | FlexibleTree | [inline] |
spot_path_function(StatisticsGathererPath< Spot > &gather_spot) const | FlexibleTreeTrinomial | [virtual] |
successors(const size_t n, const size_t k) const | FlexibleTree | [inline] |
successors_function(const size_t n, const size_t k, path_type &successors) const | FlexibleTreeTrinomial | [virtual] |
T() const | FlexibleTree | [inline] |
with_siblings(const path_type &path) const | FlexibleTree | [inline] |