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

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butterfly.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 PAYOFFBUTTERFLY_H
    00021 #define PAYOFFBUTTERFLY_H
    00022
    00023 //#include "payoff.h"
    00024
    00026
    00030 class PayoffButterfly : public Payoff
    00031 {
    00032 public:
    00033         PayoffButterfly (const coefficient K, const coefficient d)
    00034                         : _K (K), _d (d)
    00035         {}
    00036
    00037         Portfolio operator() (const Spot& spot) const
    00038         {
    00039                 if (greaterthan (spot.underlying(),_K+_d) || lessthan (spot.underlying(),_K-_d))
    00040                         return Portfolio (0,0);
    00041
    00042                 if (greaterthan (_K, spot.underlying()))
    00043                         return Portfolio (0, spot.underlying() - _K + _d);
    00044
    00045                 return Portfolio (0, _K + _d - spot.underlying());
    00046         }
    00047
    00048         PayoffButterfly* clone() const
    00049         {
    00050                 return new PayoffButterfly (*this);
    00051         }
    00052
    00053 private:
    00054         coefficient _K, _d;
    00055 };
    00056
    00057 #endif // PAYOFFBUTTERFLY_H

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