American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
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Abstraction of short rate for purposes of discounting. More...
#include <shortrate.h>
Public Member Functions | |
virtual coefficient | accumulate (const coefficient t1, const coefficient t2) const =0 |
virtual coefficient | discount (const coefficient t1, const coefficient t2) const =0 |
Abstraction of short rate for purposes of discounting.
virtual coefficient ShortRate::accumulate | ( | const coefficient | t1, |
const coefficient | t2 | ||
) | const [pure virtual] |
Value at t2 of one unit at time t1.
Implemented in ShortRateContinuous, and ShortRateDiscrete.
virtual coefficient ShortRate::discount | ( | const coefficient | t1, |
const coefficient | t2 | ||
) | const [pure virtual] |
Value at t1 of one unit at time t2.
Implemented in ShortRateContinuous, and ShortRateDiscrete.