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QuantLib_TsiveriotisFernandesLattice
Langue: en
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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