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

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ShortRate Class Reference

Abstraction of short rate for purposes of discounting. More...

`#include <shortrate.h>`

Inheritance diagram for ShortRate:

List of all members.

## Public Member Functions
virtual coefficient | accumulate (const coefficient t1, const coefficient t2) const =0
virtual coefficient | discount (const coefficient t1, const coefficient t2) const =0

## Detailed Description

Abstraction of short rate for purposes of discounting.

## Member Function Documentation

virtual coefficient ShortRate::accumulate | ( | const coefficient | t1,
|  | const coefficient | t2
| ) |  | const`[pure virtual]`

Value at t2 of one unit at time t1.

Implemented in ShortRateContinuous, and ShortRateDiscrete.

virtual coefficient ShortRate::discount | ( | const coefficient | t1,
|  | const coefficient | t2
| ) |  | const`[pure virtual]`

Value at t1 of one unit at time t2.

Implemented in ShortRateContinuous, and ShortRateDiscrete.

The documentation for this class was generated from the following file:

- shortrate.h

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