QuantLib_TsiveriotisFernandesLattice

Langue: en

Autres versions - même langue

Version: 377780 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::TsiveriotisFernandesLattice -

Binomial lattice approximating the Tsiveriotis-Fernandes model.

SYNOPSIS


#include <ql/experimental/convertiblebonds/tflattice.hpp>

Inherits QuantLib::BlackScholesLattice< T >.

Public Member Functions


TsiveriotisFernandesLattice (const boost::shared_ptr< T > &tree, Rate riskFreeRate, Time end, Size steps, Spread creditSpread, Volatility volatility, Spread divYield)

Spread creditSpread () const

Protected Member Functions


void stepback (Size i, const Array &values, const Array &conversionProbability, const Array &spreadAdjustedRate, Array &newValues, Array &newConversionProbability, Array &newSpreadAdjustedRate) const

void rollback (DiscretizedAsset &, Time to) const

void partialRollback (DiscretizedAsset &, Time to) const

Detailed Description

template<class T> class QuantLib::TsiveriotisFernandesLattice< T >

Binomial lattice approximating the Tsiveriotis-Fernandes model.

Author

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