American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
ParameterIntegrableBridge Class Reference

Wrapper class for ParameterIntegrable. More...

#include <integrablebridge.h>

List of all members.

Public Member Functions

coefficient integral (const coefficient time1, const coefficient time2) const
coefficient integral_square (const coefficient time1, const coefficient time2) const
coefficient operator() (const coefficient time) const
ParameterIntegrableBridgeoperator= (const ParameterIntegrableBridge &original)
 ParameterIntegrableBridge (const ParameterIntegrable &parameter)
 ParameterIntegrableBridge (const ParameterIntegrableBridge &original)
coefficient root_integral_square (const coefficient time1, const coefficient time2) const
 ~ParameterIntegrableBridge ()

Detailed Description

Wrapper class for ParameterIntegrable.

Inspired by the Parameters class in Mark Joshi "Design Patterns and Derivatives Pricing", Cambridge University Press, 2004.

Author:
Alet Roux <alet.roux@york.ac.uk>

Constructor & Destructor Documentation

ParameterIntegrableBridge::ParameterIntegrableBridge ( const ParameterIntegrableBridge original) [inline]
ParameterIntegrableBridge::ParameterIntegrableBridge ( const ParameterIntegrable parameter) [inline]
ParameterIntegrableBridge::~ParameterIntegrableBridge ( ) [inline]

Member Function Documentation

coefficient ParameterIntegrableBridge::integral ( const coefficient  time1,
const coefficient  time2 
) const [inline]

Integral of parameter over [time1, time2].

coefficient ParameterIntegrableBridge::integral_square ( const coefficient  time1,
const coefficient  time2 
) const [inline]

Integral of squared parameter over [time1, time2].

coefficient ParameterIntegrableBridge::operator() ( const coefficient  time) const [inline]

Current value of parameter.

ParameterIntegrableBridge& ParameterIntegrableBridge::operator= ( const ParameterIntegrableBridge original) [inline]

Assignment operator.

coefficient ParameterIntegrableBridge::root_integral_square ( const coefficient  time1,
const coefficient  time2 
) const [inline]

Square root of integral of squared parameter over [time1, time2].


The documentation for this class was generated from the following file:
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