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American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
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| accumulate(const size_t n) const | FlexibleTree | [inline] |
| discount(const size_t n) const | FlexibleTree | [inline] |
| drift(const size_t n) const | FlexibleTree | [inline] |
| dt() const | FlexibleTree | [inline] |
| EMM_exercise_function(const TreeProductAmericanSeller &product, const StatisticsGathererPath< Spot > &gather_spot, const StatisticsGathererSome< PiecewiseLinear > &gather_current_hedge, const StatisticsGathererPath< PiecewiseLinear > &gather_future_hedge, StatisticsGathererSome< coefficient > &value, StatisticsGathererPath< coefficient > &chi, StatisticsGathererSome< coefficient > &x, StatisticsGathererPath< coefficient > &y, StatisticsGathererPath< coefficient > &S, StatisticsGathererSome< coefficient > &p, StatisticsGatherer< Portfolio > &strategy, const coefficient shares=0.0) const | FlexibleTree | |
| exercise_function(const TreeProductAmericanBuyer &product, const StatisticsGathererPath< Spot > &gather_spot, const StatisticsGathererPath< Portfolio > &strategy, StatisticsGathererPath< int > &decision) const | FlexibleTree | |
| FlexibleTree(const coefficient &S, const ParameterIntegrableBridge &sigma, const ParameterIntegrableBridge &kappa_sigma_square, const ShortRate &r, const ParameterBridge &mu, const ParameterBridge &lambda, const size_t N, const coefficient &T) | FlexibleTree | |
| FlexibleTreeBinomial(const coefficient &S, const ParameterIntegrableBridge &sigma, const ParameterIntegrableBridge &kappa_sigma_square, const ShortRate &r, const ParameterBridge &mu, const ParameterBridge &lambda, const size_t N, const coefficient &T) | FlexibleTreeBinomial | |
| hedge(const size_t scenario, const TreeProduct &product, const coefficient shares=0.0) const | FlexibleTree | [inline] |
| hedge(const path_type &path, const TreeProduct &product, const coefficient shares=0.0) const | FlexibleTree | |
| hedging_function(const TreeProduct &product, const StatisticsGathererPath< Spot > &gather_spot, const PiecewiseLinear ¤t_hedge, const StatisticsGathererPath< PiecewiseLinear > &gather_future_hedge, StatisticsGathererPath< Portfolio > &strategy, const coefficient shares=0.0) const | FlexibleTree | |
| jump(const size_t n) const | FlexibleTree | [inline] |
| lambda(const size_t n) const | FlexibleTree | [inline] |
| logS() const | FlexibleTree | [inline] |
| mu(const size_t n) const | FlexibleTree | [inline] |
| N() const | FlexibleTree | [inline] |
| nodes(const size_t n) const | FlexibleTreeBinomial | [virtual] |
| path(const size_t scenario) const | FlexibleTreeBinomial | [virtual] |
| price(const TreeProduct &product, const Portfolio &wealth=Portfolio(0, 0)) const | FlexibleTree | [inline] |
| pricing_function(const TreeProduct &product, StatisticsGatherer< Spot > &gather_spot, StatisticsGatherer< PiecewiseLinear > &gather_current_hedge, StatisticsGatherer< PiecewiseLinear > &gather_future_hedge) const | FlexibleTree | |
| scenario(const path_type &path) const | FlexibleTreeBinomial | [virtual] |
| scenarios() const | FlexibleTreeBinomial | [virtual] |
| spot(const size_t n) const | FlexibleTree | [inline] |
| spot_function(const size_t n, std::vector< Spot > &spot) const | FlexibleTreeBinomial | [virtual] |
| spot_path(const size_t scenario) const | FlexibleTree | [inline] |
| spot_path(const path_type &course) const | FlexibleTree | [inline] |
| spot_path_function(StatisticsGathererPath< Spot > &gather_spot) const | FlexibleTreeBinomial | [virtual] |
| successors(const size_t n, const size_t k) const | FlexibleTree | [inline] |
| successors_function(const size_t n, const size_t k, path_type &successors) const | FlexibleTreeBinomial | [virtual] |
| T() const | FlexibleTree | [inline] |
| with_siblings(const path_type &path) const | FlexibleTree | [inline] |