American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
randomexercisable.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 RANDOMEXERCISABLE_H
00021 #define RANDOMEXERCISABLE_H
00022 
00023 //#include "../numbers.h"
00024 //#include "../spot.h"
00025 //#include "../piecewiselinear/piecewiselinear.h"
00026 //#include "../portfolio.h"
00027 
00029 class TreeProductRandomExercisable
00030 {
00034         virtual coefficient random_exercise (const coefficient t, const Spot& spot, const PiecewiseLinear& current_hedge, const PiecewiseLinear& future_hedge, const coefficient x, coefficient& y, coefficient& S, const Portfolio &portfolio) const = 0;
00035 };
00036 
00037 #endif // RANDOMEXERCISABLE_H
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