American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
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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 PARAMETERCONSTANT_H 00021 #define PARAMETERCONSTANT_H 00022 00023 #include "parameter.h" 00024 00026 class ParameterConstant : public Parameter 00027 { 00028 public: 00029 ParameterConstant (const coefficient value) : _value (value) {}; 00030 00031 virtual coefficient operator()(const coefficient time) const { return value(); }; 00032 00033 virtual ParameterConstant* clone() const { return new ParameterConstant(*this); }; 00034 00035 00036 protected: 00038 coefficient value() const { return _value; }; 00039 00040 private: 00041 coefficient _value; 00042 }; 00043 00044 #endif // PARAMETERCONSTANT_H