- 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 > >.