American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
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Option payoff consisting of a portfolio of cash and shares. More...
#include <payoff.h>
Public Member Functions | |
virtual Payoff * | clone () const =0 |
virtual Portfolio | operator() (const Spot &spot) const =0 |
virtual | ~Payoff () |
Option payoff consisting of a portfolio of cash and shares.
Based on the Payoff class in Joshi, M. "Design Patterns and Derivatives Pricing", Cambridge University Press, 2004.
virtual Payoff::~Payoff | ( | ) | [inline, virtual] |
virtual Payoff* Payoff::clone | ( | ) | const [pure virtual] |
Clone constructor.
Implemented in PayoffBasket, PayoffBearSpread, PayoffBullSpread, PayoffButterfly, PayoffCallCashAsk, PayoffCallCashBid, PayoffCallCashUnderlying, PayoffCallPhysical, PayoffCallPhysicalAsk, PayoffCallPhysicalBid, PayoffCallPhysicalUnderlying, PayoffConstant, PayoffMulti, PayoffNeg, PayoffPutCashAsk, PayoffPutCashBid, PayoffPutCashUnderlying, PayoffPutPhysical, PayoffPutPhysicalAsk, PayoffPutPhysicalBid, and PayoffPutPhysicalUnderlying.
Gives payoff of option under given spot price.
Implemented in PayoffBasket, PayoffBearSpread, PayoffBullSpread, PayoffButterfly, PayoffCallCashAsk, PayoffCallCashBid, PayoffCallCashUnderlying, PayoffCallPhysical, PayoffCallPhysicalAsk, PayoffCallPhysicalBid, PayoffCallPhysicalUnderlying, PayoffConstant, PayoffMulti, PayoffNeg, PayoffPutCashAsk, PayoffPutCashBid, PayoffPutCashUnderlying, PayoffPutPhysical, PayoffPutPhysicalAsk, PayoffPutPhysicalBid, and PayoffPutPhysicalUnderlying.