American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
treeproduct.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 
00020 #ifndef TREEPRODUCT_H
00021 #define TREEPRODUCT_H
00022 
00023 #include "../config.h"
00024 //#include "../payoff/bridge.h"
00025 #include "../trading.h"
00026 
00028 class TreeProduct
00029 {
00030 public:
00031         TreeProduct ( const coefficient expiry) : _expiry ( expiry )
00032         {
00033         #ifdef USE_ASSERT
00034                 assert ( expiry > 0 );
00035         #endif
00036         }
00037 
00043         virtual PiecewiseLinear final_hedge (const Spot& spot) const = 0;
00044 
00052         virtual PiecewiseLinear interim_hedge (const coefficient t, const Spot& spot, const PiecewiseLinear& future_hedge) const = 0;
00053 
00059         virtual coefficient current_price (const PiecewiseLinear& current, const Portfolio& holdings = Portfolio (0,0)) const = 0;
00060 
00069         Portfolio next_portfolio (const coefficient t, const Spot& spot, const PiecewiseLinear& future_hedge, const Portfolio& current_portfolio) const
00070         {
00071 #ifdef USE_ASSERT
00072                 assert (t < expiry());
00073 #endif
00074                 Portfolio portfolio (current_portfolio);
00075                 untangle_restriction (portfolio, future_hedge, spot);
00076                 return portfolio;
00077         }
00078 
00080         coefficient expiry() const { return _expiry;}
00081 
00082 private:
00083         coefficient _expiry;
00084 };
00085 
00086 inline coefficient buyers_price(const PiecewiseLinear& current, const Portfolio& holdings)
00087 {
00088         return - current ( holdings.shares() ) - holdings.cash();
00089 };
00090 
00091 inline coefficient sellers_price(const PiecewiseLinear& current, const Portfolio& holdings)
00092 {
00093         return current ( holdings.shares() ) - holdings.cash();
00094 };
00095 
00096 #endif // TREEPRODUCT_H
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