American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
constant.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 
00020 #ifndef PAYOFFCONSTANT_H
00021 #define PAYOFFCONSTANT_H
00022 
00023 #include "payoff.h"
00024 
00026 class PayoffConstant : public Payoff
00027 {
00028 
00029 public:
00030     PayoffConstant (const Portfolio& payoff) : _payoff(payoff) {};
00031 
00032     virtual PayoffConstant* clone() const
00033     {
00034       return new PayoffConstant (_payoff);
00035     }
00036 
00037     virtual Portfolio operator()(const Spot& spot) const
00038     {
00039       return _payoff;
00040     }
00041 
00042     virtual ~PayoffConstant() {};
00043 
00044   private:
00045     Portfolio _payoff;
00046 };
00047 
00048 std::ostream& operator<< (std::ostream& output, const PayoffConstant& constant);
00049 
00050 #endif // PAYOFFCONSTANT_H
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