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 PAYOFFPUTCASHUNDERLYING_H 00021 #define PAYOFFPUTCASHUNDERLYING_H 00022 00024 00025 #include "singlestrike.h" 00026 00028 00032 class PayoffPutCashUnderlying : public PayoffSingleStrike 00033 { 00034 public: 00035 PayoffPutCashUnderlying (const coefficient strike) 00036 : PayoffSingleStrike (strike) 00037 {} 00038 00039 Portfolio operator() (const Spot& spot) const 00040 { 00041 coefficient payoff = strike()-spot.underlying(); 00042 return greaterthan (payoff, 0.0) ? Portfolio (0, payoff) : Portfolio (0, 0); 00043 } 00044 00045 PayoffPutCashUnderlying* clone() const 00046 { 00047 return new PayoffPutCashUnderlying (*this); 00048 } 00049 00050 }; 00051 00052 std::ostream& operator<< (std::ostream& output, const PayoffPutCashUnderlying& put); 00053 00054 00055 #endif // PAYOFFPUTCASHUNDERLYING_H