American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
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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