American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
integrableconstant.h
Go to the documentation of this file.
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 
00021 #ifndef PARAMETERINTEGRABLECONSTANT_H
00022 #define PARAMETERINTEGRABLECONSTANT_H
00023 
00024 #include "integrable.h"
00025 
00027 class ParameterIntegrableConstant : public ParameterIntegrable
00028 {
00029 public:
00030         ParameterIntegrableConstant (const coefficient value);
00031 
00032         coefficient operator()(const coefficient time) const;
00033         ParameterIntegrableConstant* clone() const;
00034 
00035         coefficient integral (const coefficient time1, const coefficient time2) const;
00036         coefficient integral_square (const coefficient time1, const coefficient time2) const;
00037         coefficient root_integral_square (const coefficient time1, const coefficient time2) const;
00038 
00039 private:
00040         coefficient _value, _squared;
00041 };
00042 
00043 #endif // PARAMETERINTEGRABLECONSTANT_H
 All Classes Namespaces Files Functions Variables Typedefs Defines