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American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
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| current_price(const PiecewiseLinear ¤t, const Portfolio &holdings=Portfolio(0, 0)) const =0 | TreeProduct | [pure virtual] |
| expiry() const | TreeProduct | [inline] |
| final_hedge(const Spot &spot) const =0 | TreeProduct | [pure virtual] |
| interim_hedge(const coefficient t, const Spot &spot, const PiecewiseLinear &future_hedge) const =0 | TreeProduct | [pure virtual] |
| next_portfolio(const coefficient t, const Spot &spot, const PiecewiseLinear &future_hedge, const Portfolio ¤t_portfolio) const | TreeProduct | [inline] |
| payoff(const coefficient &t, const Spot &spot) const | TreeProductAmerican | [inline] |
| payoff_hedge(const coefficient &t, const Spot &spot) const | TreeProductAmerican | [inline] |
| TreeProduct(const coefficient expiry) | TreeProduct | [inline] |
| TreeProductAmerican(const coefficient expiry, const PayoffBridge &payoff) | TreeProductAmerican | [inline] |