Numerical Methods in Finance with C++

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Multiple inheritance

Just as for European options, we can distinguish subclasses of American options according to the payoff, such as puts, calls, digital calls, bull spreads and many others. For now we restrict ourselves to puts and calls.

In Section 2.2 we saw how to use inheritance in C++ to set up subclasses. A new feature here is that an option with a particular payoff such as a put can be either of European or American type. This can be modelled in C++ by means of multiple inheritance. In addition to the EurOption class, we define a new AmOption class, and make Put a subclass of both the EurOption and AmOption classes. Similarly, Call (and possibly more classes for other payoffs) will also be inheriting from both the EurOption and AmOption classes, as in Figure 3.1. The code to capture this structure follows below.

Listing 3.1  Options07.h

1. #ifndef Options07_h
   
2. #define Options07_h
   
3. 
   
4. #include “BinModel02.h”
   
5. 
   
6. class EurOption
   
7. {
   
8.    private:
   
9.       int N; //steps to expiry
   
10.    public:
    
11.       void SetN(int N_){N=N_;}
    
12.       virtual double Payoff(double z)=0;
    
13.       //pricing European option
    
14.       double PriceByCRR(BinModel Model);
    
15. };
    
16. 
    
17. class AmOption                                          images
    
18. {
    
19.    private:
    
20.       int N; //steps to expiry
    
21.    public:
    
22.       void SetN(int N_){N=N_;}
    
23.       virtual double Payoff(double z)=0;
    
24.       //pricing American option
    
25.       double PriceBySnell(BinModel Model);              images
    
26. };
    
27. 
    
28. class Call: public EurOption, public AmOption           images
    
29. {
    
30.    private:
    
31.       double K; //strike price
    
32.    public:
    
33.       void SetK(double K_){K=K_;}
    
34.       int GetInputData( );
    
35.       double Payoff(double z);
    
36. };
    
37. 
    
38. class Put: public EurOption, public AmOption            images
    
39. {
    
40.    private:
    
41.       double K; //strike price
    
42.    public:
    
43.       void SetK(double K_){K=K_;}
    
44.       int GetInputData( );
    
45.       double Payoff(double z);
    
46. };
    
47. 
    
48. #endif

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kankan

kankan

1039264611 发表于 2015-6-28 19:46
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great book

great book

great book

Numerical Methods in Finance with C++