American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
europeanselleroptional.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_SELLER_H
00021 #define TREEPRODUCT_EUROPEAN_SELLER_H
00022 
00023 #include "europeanseller.h"
00024 
00030 
00031 
00035 class TreeProductEuropeanSellerOptional : public TreeProductEuropeanSeller
00036 {
00037 
00038 public:
00039         TreeProductEuropeanSellerOptional (const coefficient expiry, const PayoffBridge& payoff) : TreeProductEuropeanSeller (expiry, payoff) {};
00040 
00041         PiecewiseLinear final_hedge (const Spot& spot) const
00042         {
00043           PiecewiseLinear hedge = payoff_hedge (spot);
00044           ensure_solvent (hedge, spot);
00045           return hedge;
00046         };
00047 };
00048 
00049 #endif // TREEPRODUCT_EUROPEAN_SELLER_H
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