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

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europeanbuyer.h
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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 TREEPRODUCT_EUROPEAN_BUYERNOOPTIONAL_H
    00021 #define TREEPRODUCT_EUROPEAN_BUYERNOOPTIONAL_H
    00022
    00023 #include "europeanseller.h"
    00024 //#include "exercisable.h"
    00025
    00027
    00031 class TreeProductEuropeanBuyer : public TreeProductEuropeanSeller
    00032 {
    00033
    00034 public:
    00035     TreeProductEuropeanBuyer (const coefficient expiry, const PayoffBridge& payoff) : TreeProductEuropeanSeller(expiry, -payoff) {};
    00036
    00037     coefficient current_price(const PiecewiseLinear& current, const Portfolio& holdings = Portfolio (0,0)) const
    00038     {
    00039       return buyers_price (current, holdings);
    00040     }
    00041
    00042 };
    00043
    00044
    00045 #endif // TREEPRODUCT_EUROPEAN_BUYERNOOPTIONAL_H

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