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

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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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