American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
PayoffBearSpread Class Reference

Bear spread. More...

#include <bearspread.h>

Inheritance diagram for PayoffBearSpread:
Payoff

List of all members.

Public Member Functions

PayoffBearSpreadclone () const
Portfolio operator() (const Spot &spot) const
 PayoffBearSpread (const coefficient K, const coefficient L)

Detailed Description

Bear spread.

The payoff consists of a short put option with strike $ K $ and a long put option with strike $ L $. Delivery of all options is simultaneous and in cash, based on the underlying stock price.

Author:
Alet Roux <ar521@york.ac.uk>

Constructor & Destructor Documentation

PayoffBearSpread::PayoffBearSpread ( const coefficient  K,
const coefficient  L 
) [inline]

Member Function Documentation

PayoffBearSpread* PayoffBearSpread::clone ( ) const [inline, virtual]

Clone constructor.

Implements Payoff.

Portfolio PayoffBearSpread::operator() ( const Spot spot) const [inline, virtual]

Gives payoff of option under given spot price.

Implements Payoff.


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