American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
basket.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 PAYOFFBASKET_H
00021 #define PAYOFFBASKET_H
00022 
00023 //#include "payoff.h"
00024 //#include "bridge.h"
00025 //#include <vector>
00026 
00027 typedef std::vector<PayoffBridge> payoff_array;
00028 
00030 class PayoffBasket : public Payoff
00031 {
00032 public:
00033         PayoffBasket (const payoff_array &payoffs)
00034         : _payoffs (payoffs)
00035         {}
00036 
00037         PayoffBasket (const PayoffBasket &original)
00038         : _payoffs (original._payoffs)
00039         {}
00040 
00041         Portfolio operator() (const Spot& spot) const
00042         {
00043                 Portfolio payoff (0,0);
00044                 for (size_t k = 0; k < _payoffs.size(); k++)
00045                         payoff += _payoffs[k] (spot);
00046                 return payoff;
00047         }
00048 
00049         PayoffBasket* clone() const
00050         {
00051                 return new PayoffBasket (*this);
00052         }
00053 
00054 protected:
00055         payoff_array _payoffs;
00056 };
00057 
00059 //      PayoffBridge& operator+(const PayoffBridge& first,const PayoffBridge& second)
00060 //      {
00061 
00062 //            payoff_array payoff;
00063 //            payoff.push_back(first);
00064 //            payoff.push_back(second);
00065 //            return *(new PayoffBridge(PayoffBasket (payoff)));
00066 //      }
00067 
00068 
00069 #endif // PAYOFFBASKET_H
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