American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
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current_price(const PiecewiseLinear ¤t, const Portfolio &holdings=Portfolio(0, 0)) const =0 | TreeProduct | [pure virtual] |
expiry() const | TreeProduct | [inline] |
final_hedge(const Spot &spot) const =0 | TreeProduct | [pure virtual] |
interim_hedge(const coefficient t, const Spot &spot, const PiecewiseLinear &future_hedge) const | TreeProductEuropean | [inline, virtual] |
next_portfolio(const coefficient t, const Spot &spot, const PiecewiseLinear &future_hedge, const Portfolio ¤t_portfolio) const | TreeProduct | [inline] |
payoff(const Spot &spot) const | TreeProductEuropean | [inline] |
payoff_hedge(const Spot &spot) const | TreeProductEuropean | [inline] |
TreeProduct(const coefficient expiry) | TreeProduct | [inline] |
TreeProductEuropean(const coefficient expiry, const PayoffBridge &payoff) | TreeProductEuropean | [inline] |