American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
multi.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 PAYOFFMULTI_H
00021 #define PAYOFFMULTI_H
00022 
00023 //#include "payoff.h"
00024 
00026 
00030 class PayoffMulti : public Payoff
00031 {
00032 public:
00033         PayoffMulti (const PayoffMulti& payoff)
00034         {
00035                 _multiple = payoff._multiple;
00036                 _payoff = payoff._payoff->clone();
00037         }
00038 
00039         PayoffMulti (const coefficient multiple, const Payoff& payoff)
00040                         : _multiple (multiple)
00041         {
00042                 _payoff = payoff.clone();
00043         }
00044 
00045         PayoffMulti (const Payoff& payoff)
00046                         : _multiple (1.0)
00047         {
00048                 _payoff = payoff.clone();
00049         }
00050 
00051         Portfolio operator() (const Spot& spot) const
00052         {
00053                 return (_payoff->operator() (spot) *=_multiple);
00054         }
00055 
00056         PayoffMulti* clone() const
00057         {
00058                 return new PayoffMulti (*this);
00059         }
00060 
00061         ~PayoffMulti()
00062         {
00063                 delete _payoff;
00064         }
00065 
00066 private:
00067         coefficient _multiple;
00068         Payoff* _payoff;
00069 };
00070 
00071 #endif // PAYOFFMULTI_H
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