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binomialconvertibleengine.hpp
Langue: en
Version: 375170 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/experimental/convertiblebonds/binomialconvertibleengine.hpp -binomial engine for convertible bonds
SYNOPSIS
#include <ql/experimental/convertiblebonds/discretizedconvertible.hpp>
#include <ql/experimental/convertiblebonds/convertiblebond.hpp>
#include <ql/experimental/convertiblebonds/tflattice.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
#include <ql/instruments/payoffs.hpp>
Classes
class BinomialConvertibleEngine< T >
Binomial Tsiveriotis-Fernandes engine for convertible bonds.
Detailed Description
binomial engine for convertible bonds
Author
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