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

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shortratecontinuous.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 SHORTRATECONTINUOUS_H
    00021 #define SHORTRATECONTINUOUS_H
    00022
    00023 #include "shortrate.h"
    00024 #include "parameter/integrablebridge.h"
    00025
    00027 class ShortRateContinuous : public ShortRate
    00028 {
    00029 public:
    00030         ShortRateContinuous (const ParameterIntegrableBridge& r)
    00031                         : _r (r)
    00032         {};
    00033
    00034         coefficient discount (const coefficient t1, const coefficient t2) const
    00035         {
    00036                 return exp (-_r.integral (t1, t2));
    00037         };
    00038
    00039         coefficient accumulate (const coefficient t1, const coefficient t2) const
    00040         {
    00041                 return exp (_r.integral (t1, t2));
    00042         }
    00043
    00044 private:
    00045         ParameterIntegrableBridge _r;
    00046 };
    00047
    00048 #endif // SHORTRATECONTINUOUS_H

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