American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
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Butterfly spread. More...
#include <butterfly.h>
Public Member Functions | |
PayoffButterfly * | clone () const |
Portfolio | operator() (const Spot &spot) const |
PayoffButterfly (const coefficient K, const coefficient d) |
Butterfly spread.
Payoff consists of a long call option with strike , a long call option with strike
and two short call options with strike
. Delivery of all options is simultaneous and in cash, based on the underlying stock price.
PayoffButterfly::PayoffButterfly | ( | const coefficient | K, |
const coefficient | d | ||
) | [inline] |
PayoffButterfly* PayoffButterfly::clone | ( | ) | const [inline, virtual] |
Clone constructor.
Implements Payoff.
Gives payoff of option under given spot price.
Implements Payoff.