- QuantLib
- TsiveriotisFernandesLattice
Binomial lattice approximating the Tsiveriotis-Fernandes model. More...
#include <ql/experimental/convertiblebonds/tflattice.hpp>

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 |
Binomial lattice approximating the Tsiveriotis-Fernandes model.
| void rollback | ( | DiscretizedAsset & | , |
| Time | to | ||
| ) | const [protected, virtual] |
Roll back an asset until the given time, performing any needed adjustment.
Reimplemented from TreeLattice< BlackScholesLattice< T > >.
| void partialRollback | ( | DiscretizedAsset & | , |
| Time | to | ||
| ) | const [protected, virtual] |
Roll back an asset until the given time, but do not perform the final adjustment.
method->rollAlmostBack(asset,t);
with the two statements:
method->partialRollback(asset,t);
asset->preAdjustValues();
Reimplemented from TreeLattice< BlackScholesLattice< T > >.