American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
|
current_price(const PiecewiseLinear ¤t, const Portfolio &holdings=Portfolio(0, 0)) const | TreeProductAmericanBuyer | [inline, virtual] |
exercise(const coefficient t, const Spot &spot, const Portfolio ¤t_portfolio) const | TreeProductAmericanBuyerOptional | [inline, virtual] |
expiry() const | TreeProduct | [inline] |
final_hedge(const Spot &spot) const | TreeProductAmericanBuyerOptional | [inline, virtual] |
interim_hedge(const coefficient time, const Spot &spot, const PiecewiseLinear &future_hedge) const | TreeProductAmericanBuyer | [inline, virtual] |
next_portfolio(const coefficient t, const Spot &spot, const PiecewiseLinear &future_hedge, const Portfolio ¤t_portfolio) const | TreeProduct | [inline] |
payoff(const coefficient &t, const Spot &spot) const | TreeProductAmerican | [inline] |
payoff_hedge(const coefficient &t, const Spot &spot) const | TreeProductAmerican | [inline] |
TreeProduct(const coefficient expiry) | TreeProduct | [inline] |
TreeProductAmerican(const coefficient expiry, const PayoffBridge &payoff) | TreeProductAmerican | [inline] |
TreeProductAmericanBuyer(const coefficient expiry, const PayoffBridge &payoff) | TreeProductAmericanBuyer | [inline] |
TreeProductAmericanBuyerOptional(const coefficient expiry, const PayoffBridge &payoff) | TreeProductAmericanBuyerOptional | [inline] |