American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
|
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 PAYOFFMULTI_H 00021 #define PAYOFFMULTI_H 00022 00023 //#include "payoff.h" 00024 00026 00030 class PayoffMulti : public Payoff 00031 { 00032 public: 00033 PayoffMulti (const PayoffMulti& payoff) 00034 { 00035 _multiple = payoff._multiple; 00036 _payoff = payoff._payoff->clone(); 00037 } 00038 00039 PayoffMulti (const coefficient multiple, const Payoff& payoff) 00040 : _multiple (multiple) 00041 { 00042 _payoff = payoff.clone(); 00043 } 00044 00045 PayoffMulti (const Payoff& payoff) 00046 : _multiple (1.0) 00047 { 00048 _payoff = payoff.clone(); 00049 } 00050 00051 Portfolio operator() (const Spot& spot) const 00052 { 00053 return (_payoff->operator() (spot) *=_multiple); 00054 } 00055 00056 PayoffMulti* clone() const 00057 { 00058 return new PayoffMulti (*this); 00059 } 00060 00061 ~PayoffMulti() 00062 { 00063 delete _payoff; 00064 } 00065 00066 private: 00067 coefficient _multiple; 00068 Payoff* _payoff; 00069 }; 00070 00071 #endif // PAYOFFMULTI_H