American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
americanseller.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 TREEPRODUCT_AMERICAN_SELLERNOOPTIONAL_H
00021 #define TREEPRODUCT_AMERICAN_SELLERNOOPTIONAL_H
00022 
00023 #include "american.h"
00024 #include "randomexercisable.h"
00025 
00027 
00031 class TreeProductAmericanSeller : public TreeProductAmerican, public TreeProductRandomExercisable
00032 {
00033 
00034 public:
00035         TreeProductAmericanSeller (const coefficient expiry, const PayoffBridge& payoff) : TreeProductAmerican (expiry, payoff) {};
00036 
00037         PiecewiseLinear final_hedge (const Spot& spot) const
00038         {
00039           return payoff_hedge (expiry(), spot);
00040         }
00041 
00042         PiecewiseLinear interim_hedge (const coefficient time, const Spot& spot, const PiecewiseLinear& future_hedge) const
00043         {
00044 #ifdef USE_ASSERT
00045         assert (time < expiry());
00046 #endif
00047 
00048         PiecewiseLinear current = future_hedge;
00049         current.restrict_slope (-spot.ask(), -spot.bid());
00050 
00051         PiecewiseLinear reference = payoff_hedge (time, spot);
00052         return maximum (current, reference);
00053         }
00054 
00055         coefficient current_price(const PiecewiseLinear& current, const Portfolio& holdings = Portfolio (0,0)) const
00056         {
00057           return sellers_price(current, holdings);
00058         }
00059 
00063     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
00064     {
00065         if (equal (t, expiry()))
00066         {
00067                 y = x;
00068                 S = x;
00069                 return 1.0;
00070         }
00071 
00072         std::vector<PiecewiseLinear> g;
00073         g.push_back (payoff_hedge (t, spot));
00074         g.push_back (future_hedge);
00075         g[1].restrict_slope (-spot.ask(), -spot.bid());
00076 
00077         std::vector<coefficient> p, X;
00078 
00079         coefficient shares = portfolio.shares();
00080         untangle_maximum (current_hedge, g, x, shares, p, X);
00081 
00082         S = X[0];
00083         y = X[1];
00084 
00085         return p[0];
00086    }
00087 
00088 };
00089 
00090 #endif // TREEPRODUCT_AMERICAN_SELLERNOOPTIONAL_H
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