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

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europeanbuyeroptional.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 TREEPRODUCT_EUROPEAN_BUYER_H
    00021 #define TREEPRODUCT_EUROPEAN_BUYER_H
    00022
    00023 #include "europeanbuyer.h"
    00024 //#include "../trading.h"
    00025
    00027
    00031 class TreeProductEuropeanBuyerOptional : public TreeProductEuropeanBuyer
    00032 {
    00033
    00034 public:
    00035         TreeProductEuropeanBuyerOptional (const coefficient expiry, const PayoffBridge& payoff) : TreeProductEuropeanBuyer (expiry, payoff) {};
    00036
    00037         PiecewiseLinear final_hedge (const Spot& spot) const
    00038         {
    00039           PiecewiseLinear hedge = payoff_hedge (spot);
    00040           include_solvent_portfolios (hedge, spot);
    00041           return hedge;
    00042         };
    00043
    00044         int exercise (const Spot& spot, const Portfolio& current_portfolio) const
    00045         {
    00046           if (lessthan (current_portfolio.cash(), payoff_hedge (spot) (current_portfolio.shares())))
    00047                 return 0;
    00048
    00049           return 1;
    00050         };
    00051 };
    00052
    00053
    00054 #endif // TREEPRODUCT_EUROPEAN_BUYER_H

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