American-transaction costs 1.0.0.0 American option pricer under proportional transaction costs

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config.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
    00025
    00026 #define USE_ASSERT
    00027 #ifdef USE_ASSERT
    00028     #include <assert.h>
    00029 #endif
    00030
    00032 #define VERBOSE_UNTANGLE_RESTRICTION
    00033 #ifdef VERBOSE_UNTANGLE_RESTRICTION
    00034     #include <iostream>
    00035 #endif
    00036
    00038 #define VERBOSE_PIECEWISELINEAR_CHECK
    00039
    00041 #define VERBOSE_PIECEWISELINEAR_RESTRICT_SLOPE
    00042
    00044 #define VERBOSE_PIECEWISELINEAR_MAXIMUM
    00045
    00047 #define VERBOSE_PIECEWISELINEAR_CROSSING
    00048
    00050 #define VERBOSE_PIECEWISELINEAR_UNTANGLE_MAXIMUM
    00051
    00053 #define VERBOSE_FLEXIBLETREE_EMM_EXERCISE_FUNCTION
    00054 #ifdef VERBOSE_FLEXIBLETREE_EMM_EXERCISE_FUNCTION
    00055     #include <iostream>
    00056 #endif
    00057
    00059 #define VERBOSE_FLEXIBLETREE_HEDGING_FUNCTION
    00060 #ifdef VERBOSE_FLEXIBLETREE_HEDGING_FUNCTION
    00061 #define VERBOSE_UNTANGLE_RESTRICTION
    00062 #endif
    00063
    00065 #define VERBOSE_FLEXIBLETREE_EXERCISE_FUNCTION
    00066 #ifdef VERBOSE_FLEXIBLETREE_EXERCISE_FUNCTION
    00067     #include <iostream>
    00068     #define VERBOSE_TREEPRODUCT_AMERICANBUYER_EXERCISE
    00069 #endif
    00070
    00072 #define VERBOSE_FLEXIBLETREE_PRICING_FUNCTION
    00073 #ifdef VERBOSE_FLEXIBLETREE_PRICING_FUNCTION
    00074     #include <iostream>
    00075 #endif
    00076
    00078 #define VERBOSE_TREEPRODUCT_AMERICANBUYER_EXERCISE

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