American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
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Wrapper class for ParameterIntegrable. More...
#include <integrablebridge.h>
Public Member Functions | |
coefficient | integral (const coefficient time1, const coefficient time2) const |
coefficient | integral_square (const coefficient time1, const coefficient time2) const |
coefficient | operator() (const coefficient time) const |
ParameterIntegrableBridge & | operator= (const ParameterIntegrableBridge &original) |
ParameterIntegrableBridge (const ParameterIntegrable ¶meter) | |
ParameterIntegrableBridge (const ParameterIntegrableBridge &original) | |
coefficient | root_integral_square (const coefficient time1, const coefficient time2) const |
~ParameterIntegrableBridge () |
Wrapper class for ParameterIntegrable.
Inspired by the Parameters class in Mark Joshi "Design Patterns and Derivatives Pricing", Cambridge University Press, 2004.
ParameterIntegrableBridge::ParameterIntegrableBridge | ( | const ParameterIntegrableBridge & | original | ) | [inline] |
ParameterIntegrableBridge::ParameterIntegrableBridge | ( | const ParameterIntegrable & | parameter | ) | [inline] |
ParameterIntegrableBridge::~ParameterIntegrableBridge | ( | ) | [inline] |
coefficient ParameterIntegrableBridge::integral | ( | const coefficient | time1, |
const coefficient | time2 | ||
) | const [inline] |
Integral of parameter over [time1, time2].
coefficient ParameterIntegrableBridge::integral_square | ( | const coefficient | time1, |
const coefficient | time2 | ||
) | const [inline] |
Integral of squared parameter over [time1, time2].
coefficient ParameterIntegrableBridge::operator() | ( | const coefficient | time | ) | const [inline] |
Current value of parameter.
ParameterIntegrableBridge& ParameterIntegrableBridge::operator= | ( | const ParameterIntegrableBridge & | original | ) | [inline] |
Assignment operator.
coefficient ParameterIntegrableBridge::root_integral_square | ( | const coefficient | time1, |
const coefficient | time2 | ||
) | const [inline] |
Square root of integral of squared parameter over [time1, time2].