American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
trinomial.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 FLEXIBLETREE_TRINOMIAL_H
00021 #define FLEXIBLETREE_TRINOMIAL_H
00022 
00023 #include "flexibletree.h"
00024 
00031 
00032 class FlexibleTreeTrinomial : public FlexibleTree
00033 {
00034 
00035 public:
00047         FlexibleTreeTrinomial (const coefficient& S, const ParameterIntegrableBridge& sigma, const ParameterIntegrableBridge& kappa_sigma_square, const ShortRate& r, const ParameterBridge& mu, const ParameterBridge& lambda, const size_t N, const coefficient& T);
00048 
00049         size_t scenarios () const;
00050         size_t nodes (const size_t n) const;
00051         void successors_function (const size_t n, const size_t k, path_type& successors) const;
00052 
00053         path_type path (const size_t scenario) const;
00054         size_t scenario (const path_type& path) const;
00055 
00056         void spot_function (const size_t n, std::vector<Spot>& spot) const;
00057         void spot_path_function (StatisticsGathererPath<Spot>& gather_spot) const;
00058 };
00059 
00060 #endif // FLEXIBLETREE_TRINOMIAL_H
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