American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
shortratediscrete.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 SHORTRATEDISCRETE_H
00021 #define SHORTRATEDISCRETE_H
00022 
00023 #include "shortrate.h"
00024 #include "parameter/bridge.h"
00025 
00027 class ShortRateDiscrete : public ShortRate
00028 {
00029 public:
00030         ShortRateDiscrete (const ParameterBridge& effective)
00031                         : _effective (effective)
00032         {};
00033 
00034         coefficient discount (const coefficient t1, const coefficient t2) const
00035         {
00036                 return pow (1+_effective (t1), t1-t2);
00037         };
00038 
00039         coefficient accumulate (const coefficient t1, const coefficient t2) const
00040         {
00041                 return pow (1+_effective (t1), t2-t1);
00042         };
00043 
00044 private:
00045         ParameterBridge _effective;
00046 };
00047 
00048 #endif // SHORTRATEDISCRETE_H
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