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

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americanbuyeroptional.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_AMERICAN_BUYER_H
    00021 #define TREEPRODUCT_AMERICAN_BUYER_H
    00022
    00023 //#include "americanbuyer.h"
    00024
    00025 #include "../config.h"
    00026
    00028
    00033 class TreeProductAmericanBuyerOptional : public TreeProductAmericanBuyer
    00034 {
    00035
    00036 public:
    00037         TreeProductAmericanBuyerOptional (const coefficient expiry, const PayoffBridge& payoff) : TreeProductAmericanBuyer(expiry,payoff) {};
    00038
    00039         PiecewiseLinear final_hedge (const Spot& spot) const
    00040         {
    00041           PiecewiseLinear hedge = payoff_hedge (expiry(), spot);
    00042           include_solvent_portfolios (hedge, spot);
    00043           return hedge;
    00044         }
    00045
    00046         int exercise (const coefficient t, const Spot& spot, const Portfolio& current_portfolio) const
    00047         {
    00048         coefficient payoff_value = payoff_hedge (t, spot) (current_portfolio.shares());
    00049
    00050 #ifdef VERBOSE_TREEPRODUCT_AMERICANBUYER_EXERCISE
    00051         std::cout << "Minimum cash value to allow exercise: " << payoff_value << std::endl;
    00052 #endif
    00053
    00054         if (greaterequal (current_portfolio.cash(), payoff_value))
    00055                 return 1;
    00056
    00057         return 0;
    00058         }
    00059 };
    00060
    00061
    00062 #endif // TREEPRODUCT_AMERICAN_BUYER_H

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