American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
TreeProduct Member List
This is the complete list of members for TreeProduct, including all inherited members.
current_price(const PiecewiseLinear &current, const Portfolio &holdings=Portfolio(0, 0)) const =0TreeProduct [pure virtual]
expiry() const TreeProduct [inline]
final_hedge(const Spot &spot) const =0TreeProduct [pure virtual]
interim_hedge(const coefficient t, const Spot &spot, const PiecewiseLinear &future_hedge) const =0TreeProduct [pure virtual]
next_portfolio(const coefficient t, const Spot &spot, const PiecewiseLinear &future_hedge, const Portfolio &current_portfolio) const TreeProduct [inline]
TreeProduct(const coefficient expiry)TreeProduct [inline]
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