QuantLib_TsiveriotisFernandesLattice man page

TsiveriotisFernandesLattice< T > — Binomial lattice approximating the Tsiveriotis-Fernandes model.

Synopsis

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

Inherits 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

Additional Inherited Members

Detailed Description

template<class T>

class QuantLib::TsiveriotisFernandesLattice< T >" Binomial lattice approximating the Tsiveriotis-Fernandes model.

Member Function Documentation

void rollback (DiscretizedAsset &, Time to) const [protected], [virtual]

Roll back an asset until the given time, performing any needed adjustment.

Implements Lattice.

void partialRollback (DiscretizedAsset &, Time to) const [protected], [virtual]

Roll back an asset until the given time, but do not perform the final adjustment.

Warning

In version 0.3.7 and earlier, this method was called rollAlmostBack method and performed pre-adjustment. This is no longer true; when migrating your code, you'll have to replace calls such as:

method->rollAlmostBack(asset,t);

with the two statements:

method->partialRollback(asset,t);
asset->preAdjustValues();

Implements Lattice.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

TsiveriotisFernandesLattice(3) is an alias of QuantLib_TsiveriotisFernandesLattice(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib