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American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
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American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
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Parameter with fixed value (where integrability is used). More...
#include <integrableconstant.h>
Public Member Functions | |
| ParameterIntegrableConstant * | clone () const |
| coefficient | integral (const coefficient time1, const coefficient time2) const |
| coefficient | integral_square (const coefficient time1, const coefficient time2) const |
| coefficient | operator() (const coefficient time) const |
| ParameterIntegrableConstant (const coefficient value) | |
| coefficient | root_integral_square (const coefficient time1, const coefficient time2) const |
Parameter with fixed value (where integrability is used).
| ParameterIntegrableConstant::ParameterIntegrableConstant | ( | const coefficient | value | ) |
| ParameterIntegrableConstant * ParameterIntegrableConstant::clone | ( | ) | const [virtual] |
Clone constructor.
Implements ParameterIntegrable.
| coefficient ParameterIntegrableConstant::integral | ( | const coefficient | time1, |
| const coefficient | time2 | ||
| ) | const [virtual] |
Integral of parameter from time1 to time2.
Implements ParameterIntegrable.
| coefficient ParameterIntegrableConstant::integral_square | ( | const coefficient | time1, |
| const coefficient | time2 | ||
| ) | const [virtual] |
Integral of squared parameter from time1 to time2.
Implements ParameterIntegrable.
| coefficient ParameterIntegrableConstant::operator() | ( | const coefficient | t | ) | const [virtual] |
Current value at time t.
Implements Parameter.
| coefficient ParameterIntegrableConstant::root_integral_square | ( | const coefficient | time1, |
| const coefficient | time2 | ||
| ) | const [virtual] |
Square root of integral of squared parameter over [time1, time2].
Implements ParameterIntegrable.
1.7.4 
