American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
Class List
Here are the classes, structs, unions and interfaces with brief descriptions:
FlexibleTree
FlexibleTreeBinomialFlexible binomial tree with proportional transaction costs
FlexibleTreeTrinomialFlexible trinomial tree with proportional transaction costs
LineStraight line in two dimensions
ParameterAbstract parameter class
ParameterBridgeWrapper class for Parameter
ParameterConstantParameter with fixed value
ParameterConstantZeroInitialParameter with value 0 at time 0, and fixed value at all other times
ParameterConstantZeroInitialFinalParameter with fixed value, except that it is equal to zero both at time 0 and at some other time in the future
ParameterIntegrableParameter that is integrable over time
ParameterIntegrableBridgeWrapper class for ParameterIntegrable
ParameterIntegrableConstantParameter with fixed value (where integrability is used)
PayoffOption payoff consisting of a portfolio of cash and shares
PayoffBasketBasket option
PayoffBearSpreadBear spread
PayoffBridgeWrapper for Payoff
PayoffBullSpreadBull spread
PayoffButterflyButterfly spread
PayoffCallCashAskCall option with cash delivery based on ask price
PayoffCallCashBidCall option with cash delivery based on bid price
PayoffCallCashUnderlyingCall option with cash delivery based on underlying stock price
PayoffCallPhysicalCall option with physical delivery
PayoffCallPhysicalAskCall option with physical delivery based on ask price (deprecated)
PayoffCallPhysicalBidCall option with physical delivery based on bid price (deprecated)
PayoffCallPhysicalUnderlyingCall option with physical delivery based on underlying stock price (deprecated)
PayoffConstantOption with fixed payoff independent of spot
PayoffMultiScalar multiple of Payoff
PayoffNegNegates Payoff
PayoffPutCashAskPut option with cash delivery based on ask price
PayoffPutCashBidPut option with cash delivery based on bid price
PayoffPutCashUnderlyingPut option with cash delivery based on underlying price
PayoffPutPhysicalPut option with physical delivery
PayoffPutPhysicalAskPut option with physical delivery based on ask price (deprecated)
PayoffPutPhysicalBidPut option with physical delivery based on bid price (deprecated)
PayoffPutPhysicalUnderlyingPut option with physical delivery based on underlying price (deprecated)
PayoffSingleStrikePayoff with one strike
PiecewiseLinearPiecewise linear (affine) function
PortfolioHoldings of cash and stock
ShortRateAbstraction of short rate for purposes of discounting
ShortRateContinuousShortRate with continuous compounding
ShortRateDiscreteShortRate with discrete compounding
SpotAsset price with proportional transaction costs
SpotMuLambdaAsset price with proportional transaction costs
StatisticsGatherer< T >Collects statistics in the FlexibleTree class
StatisticsGathererAll< T >Collects all objects of interest
StatisticsGathererFinal< T >Collects all objects of interest at final time step only (not tested)
StatisticsGathererInitial< T >Collects object of interest only at root node
StatisticsGathererPath< T >Collects paths of objects of interest
StatisticsGathererSome< T >Collects all objects of interest with paths moving through the specified nodes
TreeProductVirtual base class for path-independent European and American options
TreeProductAmericanTreeProduct methods for American options
TreeProductAmericanBuyerPrices TreeProductAmerican for the buyer (deprecated)
TreeProductAmericanBuyerOptionalPrices TreeProductAmerican for the buyer
TreeProductAmericanSellerPrices TreeProductAmerican for the seller (deprecated)
TreeProductAmericanSellerOptionalPrices TreeProductAmerican for the seller
TreeProductEuropeanTreeProduct methods for European options
TreeProductEuropeanBuyerPrices TreeProductEuropean for the buyer (deprecated)
TreeProductEuropeanBuyerOptionalPrices TreeProductEuropean for the buyer
TreeProductEuropeanSellerPrices TreeProductEuropean for the seller (deprecated)
TreeProductEuropeanSellerOptionalPrices TreeProductEuropean for the seller
TreeProductExercisableEncapsulates exercise decision at a particular time and spot
TreeProductRandomExercisableEncapsulates randomised exercise decision
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