American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
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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 SPOT_H 00021 #define SPOT_H 00022 00023 #include <ostream> 00024 #include "numbers.h" 00025 00031 00032 00036 class Spot 00037 { 00038 public: 00039 Spot (const coefficient& underlying = NAN) 00040 : _bid (underlying), _ask (underlying), _underlying (underlying) 00041 {} 00042 00043 Spot (const coefficient bid, const coefficient underlying, const coefficient ask) 00044 : _bid (bid), _ask (ask), _underlying (underlying) 00045 {} 00046 00048 inline coefficient bid() const; 00049 00051 inline coefficient ask() const; 00052 00054 inline coefficient underlying() const; 00055 00056 private: 00057 coefficient _bid, _ask, _underlying; 00058 00059 }; 00060 00061 coefficient Spot::bid() const 00062 { 00063 return _bid; 00064 } 00065 00066 coefficient Spot::ask() const 00067 { 00068 return _ask; 00069 }; 00070 00071 coefficient Spot::underlying() const 00072 { 00073 return _underlying; 00074 }; 00075 00076 std::ostream& operator<< (std::ostream& output, const Spot& spot); 00077 00078 00079 #endif // SPOT_H