American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
american.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 AMERICAN_H
00021 #define AMERICAN_H
00022 
00023 //#include "../piecewiselinear/piecewiselinear.h"
00024 //#include "../spot.h"
00025 #include "../config.h"
00026 #include "../payoff/bridge.h"
00027 #include "treeproduct.h"
00028 
00029 
00031 class TreeProductAmerican : public TreeProduct
00032 {
00033   public:
00034         TreeProductAmerican (const coefficient expiry, const PayoffBridge& payoff) : TreeProduct (expiry), _payoff (payoff) {};
00035 
00042     PiecewiseLinear payoff_hedge (const coefficient& t, const Spot& spot) const
00043     {
00044 #ifdef USE_ASSERT
00045         assert (lessequal(t,expiry()) && lessequal(0,t));
00046 #endif
00047         return portfolios_that_can_afford (_payoff(spot), spot);
00048     };
00049 
00050     Portfolio payoff (const coefficient& t, const Spot& spot) const
00051     {
00052  #ifdef USE_ASSERT
00053         assert (lessequal(t,expiry()) && lessequal(0,t));
00054 #endif
00055       return _payoff(spot);
00056     }
00057 
00058 private:
00059         PayoffBridge _payoff;
00060 };
00061 #endif // AMERICAN_H
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