treeamerican.h

C++ design pattern in finance. Must know for QF engineers

//
//
//                      TreeAmerican.h
//
//

#ifndef TREE_AMERICAN_H
#define TREE_AMERICAN_H

#include <TreeProducts.h>
#include <PayOffBridge.h>

class TreeAmerican : public TreeProduct
{

public: 

    TreeAmerican(double FinalTime,
                 const PayOffBridge& ThePayOff_);

    virtual TreeProduct* clone() const;
    virtual double FinalPayOff(double Spot) const;
    virtual double PreFinalValue(double Spot,
                                 double Time,
                                 double DiscountedFutureValue) const;
    virtual ~TreeAmerican(){}

private:

    PayOffBridge ThePayOff;

};

#endif

/*
 *
 * Copyright (c) 2002
 * Mark Joshi
 *
 * Permission to use, copy, modify, distribute and sell this
 * software for any purpose is hereby
 * granted without fee, provided that the above copyright notice
 * appear in all copies and that both that copyright notice and
 * this permission notice appear in supporting documentation.
 * Mark Joshi makes no representations about the
 * suitability of this software for any purpose. It is provided
 * "as is" without express or implied warranty.
*/