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

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shortrate.h
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    00001 /*
    00002     <one line to give the program's name and a brief idea of what it does.>
    00003     Copyright (C) <year>  <name of author>
    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 SHORTRATE_H
    00021 #define SHORTRATE_H
    00022
    00023 #include "numbers.h"
    00024
    00030
    00031 class ShortRate
    00032 {
    00033 public:
    00035         virtual coefficient discount (const coefficient t1, const coefficient t2) const = 0;
    00036
    00038         virtual coefficient accumulate (const coefficient t1, const coefficient t2) const = 0;
    00039 };
    00040
    00041 #endif // SHORTRATE_H

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