American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
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#include <assert.h>
#include <iostream>
Go to the source code of this file.
Defines | |
#define | USE_ASSERT |
#define | VERBOSE_FLEXIBLETREE_EMM_EXERCISE_FUNCTION |
#define | VERBOSE_FLEXIBLETREE_EXERCISE_FUNCTION |
#define | VERBOSE_FLEXIBLETREE_HEDGING_FUNCTION |
#define | VERBOSE_FLEXIBLETREE_PRICING_FUNCTION |
#define | VERBOSE_PIECEWISELINEAR_CHECK |
#define | VERBOSE_PIECEWISELINEAR_CROSSING |
#define | VERBOSE_PIECEWISELINEAR_MAXIMUM |
#define | VERBOSE_PIECEWISELINEAR_RESTRICT_SLOPE |
#define | VERBOSE_PIECEWISELINEAR_UNTANGLE_MAXIMUM |
#define | VERBOSE_TREEPRODUCT_AMERICANBUYER_EXERCISE |
#define | VERBOSE_TREEPRODUCT_AMERICANBUYER_EXERCISE |
#define | VERBOSE_UNTANGLE_RESTRICTION |
#define | VERBOSE_UNTANGLE_RESTRICTION |
#define USE_ASSERT |
Use <assert.h> to enforce sensible input values.
Global and package-related compiler directives for debugging purposes.
#define VERBOSE_FLEXIBLETREE_EMM_EXERCISE_FUNCTION |
Prints debug information in FlexibleTree::EMM_exercise_function().
#define VERBOSE_FLEXIBLETREE_EXERCISE_FUNCTION |
Prints debug information in FlexibleTree::exercise_function().
#define VERBOSE_FLEXIBLETREE_HEDGING_FUNCTION |
Prints debug information in FlexibleTree::hedging_function().
#define VERBOSE_FLEXIBLETREE_PRICING_FUNCTION |
Prints debug information in FlexibleTree::pricing_function().
#define VERBOSE_PIECEWISELINEAR_CHECK |
Prints debug information in PiecewiseLinear::check().
#define VERBOSE_PIECEWISELINEAR_CROSSING |
Prints debug information in crossing().
#define VERBOSE_PIECEWISELINEAR_MAXIMUM |
Prints debug information in maximum().
#define VERBOSE_PIECEWISELINEAR_RESTRICT_SLOPE |
Prints debug information in PiecewiseLinear::restrict_slope().
#define VERBOSE_PIECEWISELINEAR_UNTANGLE_MAXIMUM |
Prints debug information in untangle_maximum().
#define VERBOSE_TREEPRODUCT_AMERICANBUYER_EXERCISE |
Prints debug information in TreeProductAmericanBuyerOptional::exercise().
#define VERBOSE_TREEPRODUCT_AMERICANBUYER_EXERCISE |
Prints debug information in TreeProductAmericanBuyerOptional::exercise().
#define VERBOSE_UNTANGLE_RESTRICTION |
Print debug information in untangle_restriction().
#define VERBOSE_UNTANGLE_RESTRICTION |
Print debug information in untangle_restriction().