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 TREEPRODUCT_H 00021 #define TREEPRODUCT_H 00022 00023 #include "../config.h" 00024 //#include "../payoff/bridge.h" 00025 #include "../trading.h" 00026 00028 class TreeProduct 00029 { 00030 public: 00031 TreeProduct ( const coefficient expiry) : _expiry ( expiry ) 00032 { 00033 #ifdef USE_ASSERT 00034 assert ( expiry > 0 ); 00035 #endif 00036 } 00037 00043 virtual PiecewiseLinear final_hedge (const Spot& spot) const = 0; 00044 00052 virtual PiecewiseLinear interim_hedge (const coefficient t, const Spot& spot, const PiecewiseLinear& future_hedge) const = 0; 00053 00059 virtual coefficient current_price (const PiecewiseLinear& current, const Portfolio& holdings = Portfolio (0,0)) const = 0; 00060 00069 Portfolio next_portfolio (const coefficient t, const Spot& spot, const PiecewiseLinear& future_hedge, const Portfolio& current_portfolio) const 00070 { 00071 #ifdef USE_ASSERT 00072 assert (t < expiry()); 00073 #endif 00074 Portfolio portfolio (current_portfolio); 00075 untangle_restriction (portfolio, future_hedge, spot); 00076 return portfolio; 00077 } 00078 00080 coefficient expiry() const { return _expiry;} 00081 00082 private: 00083 coefficient _expiry; 00084 }; 00085 00086 inline coefficient buyers_price(const PiecewiseLinear& current, const Portfolio& holdings) 00087 { 00088 return - current ( holdings.shares() ) - holdings.cash(); 00089 }; 00090 00091 inline coefficient sellers_price(const PiecewiseLinear& current, const Portfolio& holdings) 00092 { 00093 return current ( holdings.shares() ) - holdings.cash(); 00094 }; 00095 00096 #endif // TREEPRODUCT_H