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

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americanbuyer.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_BUYERNOOPTIONAL_H
    00021 #define TREEPRODUCT_AMERICAN_BUYERNOOPTIONAL_H
    00022
    00023 #include "exercisable.h"
    00024 #include "american.h"
    00025
    00027
    00032 class TreeProductAmericanBuyer : public TreeProductAmerican, public TreeProductExercisable
    00033 {
    00034
    00035 public:
    00036     TreeProductAmericanBuyer (const coefficient expiry, const PayoffBridge& payoff) : TreeProductAmerican(expiry,-payoff) {};
    00037
    00038     PiecewiseLinear final_hedge (const Spot& spot) const
    00039     {
    00040         return payoff_hedge (expiry(),spot);
    00041     }
    00042
    00043     PiecewiseLinear interim_hedge (const coefficient time, const Spot& spot, const PiecewiseLinear& future_hedge) const
    00044     {
    00045 #ifdef USE_ASSERT
    00046         assert (time < expiry());
    00047 #endif
    00048
    00049         PiecewiseLinear current = future_hedge;
    00050         current.restrict_slope (-spot.ask(), -spot.bid());
    00051
    00052         PiecewiseLinear reference = payoff_hedge (time, spot);
    00053
    00054         return minimum (current, reference);
    00055     }
    00056
    00057     coefficient current_price(const PiecewiseLinear& current, const Portfolio& holdings = Portfolio (0,0)) const
    00058     {
    00059       return buyers_price (current, holdings);
    00060     }
    00061
    00062     int exercise (const coefficient t, const Spot& spot, const Portfolio& current_portfolio) const
    00063     {
    00064         if (t < expiry())
    00065         {
    00066                 if (lessthan (current_portfolio.cash(), payoff_hedge (t, spot) (current_portfolio.shares())))
    00067                         return 0;
    00068
    00069                 return 1;
    00070         }
    00071
    00072         return 1;
    00073     }
    00074
    00075 };
    00076
    00077
    00078 #endif // TREEPRODUCT_AMERICAN_BUYERNOOPTIONAL_H

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