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

Option payoff consisting of a portfolio of cash and shares. More...

#include <payoff.h>

Inheritance diagram for Payoff:
PayoffBasket PayoffBearSpread PayoffBullSpread PayoffButterfly PayoffConstant PayoffMulti PayoffNeg PayoffSingleStrike

List of all members.

Public Member Functions

virtual Payoffclone () const =0
virtual Portfolio operator() (const Spot &spot) const =0
virtual ~Payoff ()

Detailed Description

Option payoff consisting of a portfolio of cash and shares.

Based on the Payoff class in Joshi, M. "Design Patterns and Derivatives Pricing", Cambridge University Press, 2004.

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

Constructor & Destructor Documentation

virtual Payoff::~Payoff ( ) [inline, virtual]

Member Function Documentation


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