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

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trinomial.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 FLEXIBLETREE_TRINOMIAL_H
    00021 #define FLEXIBLETREE_TRINOMIAL_H
    00022
    00023 #include "flexibletree.h"
    00024
    00031
    00032 class FlexibleTreeTrinomial : public FlexibleTree
    00033 {
    00034
    00035 public:
    00047         FlexibleTreeTrinomial (const coefficient& S, const ParameterIntegrableBridge& sigma, const ParameterIntegrableBridge& kappa_sigma_square, const ShortRate& r, const ParameterBridge& mu, const ParameterBridge& lambda, const size_t N, const coefficient& T);
    00048
    00049         size_t scenarios () const;
    00050         size_t nodes (const size_t n) const;
    00051         void successors_function (const size_t n, const size_t k, path_type& successors) const;
    00052
    00053         path_type path (const size_t scenario) const;
    00054         size_t scenario (const path_type& path) const;
    00055
    00056         void spot_function (const size_t n, std::vector<Spot>& spot) const;
    00057         void spot_path_function (StatisticsGathererPath<Spot>& gather_spot) const;
    00058 };
    00059
    00060 #endif // FLEXIBLETREE_TRINOMIAL_H

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