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