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

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Public Member Functions
PayoffBearSpread Class Reference

Bear spread. More...

`#include <bearspread.h>`

Inheritance diagram for PayoffBearSpread:

List of all members.

## Public Member Functions
PayoffBearSpread * | clone () const
Portfolio | operator() (const Spot &spot) const
| PayoffBearSpread (const coefficient K, const coefficient L)

## Detailed Description

Bear spread.

The payoff consists of a short put option with strike and a long put option with strike . Delivery of all options is simultaneous and in cash, based on the underlying stock price.

Author:
  Alet Roux <ar521@york.ac.uk>

## Constructor & Destructor Documentation

PayoffBearSpread::PayoffBearSpread | ( | const coefficient | K,
|  | const coefficient | L
| ) |  | `[inline]`

## Member Function Documentation

PayoffBearSpread* PayoffBearSpread::clone | ( |  | ) | const`[inline, virtual]`

Clone constructor.

Implements Payoff.

Portfolio PayoffBearSpread::operator() | ( | const Spot & | spot | ) | const`[inline, virtual]`

Gives payoff of option under given spot price.

Implements Payoff.

The documentation for this class was generated from the following file:

- payoff/bearspread.h

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