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

ShortRate with continuous compounding. More...

#include <shortratecontinuous.h>

Inheritance diagram for ShortRateContinuous:
ShortRate

List of all members.

Public Member Functions

coefficient accumulate (const coefficient t1, const coefficient t2) const
coefficient discount (const coefficient t1, const coefficient t2) const
 ShortRateContinuous (const ParameterIntegrableBridge &r)

Detailed Description

ShortRate with continuous compounding.


Constructor & Destructor Documentation

ShortRateContinuous::ShortRateContinuous ( const ParameterIntegrableBridge r) [inline]

Member Function Documentation

coefficient ShortRateContinuous::accumulate ( const coefficient  t1,
const coefficient  t2 
) const [inline, virtual]

Value at t2 of one unit at time t1.

Implements ShortRate.

coefficient ShortRateContinuous::discount ( const coefficient  t1,
const coefficient  t2 
) const [inline, virtual]

Value at t1 of one unit at time t2.

Implements ShortRate.


The documentation for this class was generated from the following file:
 All Classes Namespaces Files Functions Variables Typedefs Defines