Binomial lattice approximating the Tsiveriotis-Fernandes model. More...

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

Inheritance diagram for TsiveriotisFernandesLattice< T >:

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

Spread	creditSpread () const

Public Member Functions inherited from BlackScholesLattice< T >
	BlackScholesLattice (const ext::shared_ptr< T > &tree, Rate riskFreeRate, Time end, Size steps)

Rate	riskFreeRate () const

Time	dt () const

Size	size (Size i) const

DiscountFactor	discount (Size, Size) const

void	stepback (Size i, const Array &values, Array &newValues) const

Real	underlying (Size i, Size index) const

Size	descendant (Size i, Size index, Size branch) const

Real	probability (Size i, Size index, Size branch) const

Public Member Functions inherited from TreeLattice1D< BlackScholesLattice< T > >
	TreeLattice1D (const TimeGrid &timeGrid, Size n)

Disposable< Array >	grid (Time t) const

Real	underlying (Size i, Size index) const

Public Member Functions inherited from TreeLattice< BlackScholesLattice< T > >
	TreeLattice (const TimeGrid &timeGrid, Size n)

void	initialize (DiscretizedAsset &, Time t) const
	initialize an asset at the given time.

void	rollback (DiscretizedAsset &, Time to) const

void	partialRollback (DiscretizedAsset &, Time to) const

Real	presentValue (DiscretizedAsset &) const
	Computes the present value of an asset using Arrow-Debrew prices.

const Array &	statePrices (Size i) const

void	stepback (Size i, const Array &values, Array &newValues) const

Public Member Functions inherited from Lattice
	Lattice (const TimeGrid &timeGrid)

const TimeGrid &	timeGrid () 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

Protected Member Functions inherited from TreeLattice< BlackScholesLattice< T > >
void	computeStatePrices (Size until) const

Protected Member Functions inherited from CuriouslyRecurringTemplate< BlackScholesLattice< T > >
BlackScholesLattice< T > &	impl ()

const BlackScholesLattice< T > &	impl () const

Additional Inherited Members
Protected Attributes inherited from BlackScholesLattice< T >
ext::shared_ptr< T >	tree_

Rate	riskFreeRate_

Time	dt_

DiscountFactor	discount_

Real	pd_

Real	pu_

Protected Attributes inherited from TreeLattice< BlackScholesLattice< T > >
std::vector< Array >	statePrices_

Protected Attributes inherited from Lattice
TimeGrid	t_

Detailed Description

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

Binomial lattice approximating the Tsiveriotis-Fernandes model.

Member Function Documentation

◆ rollback()

void rollback	(	DiscretizedAsset &	,
		Time	to
	)		const

protectedvirtual

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

Implements Lattice.

◆ partialRollback()

void partialRollback	(	DiscretizedAsset &	,
		Time	to
	)		const

protectedvirtual

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.

Public Member Functions

Protected Member Functions

Additional Inherited Members

Detailed Description

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

Member Function Documentation

◆ rollback()

◆ partialRollback()

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