File: class_quant_lib_1_1_tsiveriotis_fernandes_lattice.html

package info (click to toggle)
quantlib-refman-html 0.9.0-1
  • links: PTS
  • area: main
  • in suites: lenny
  • size: 60,592 kB
  • ctags: 7,595
  • sloc: makefile: 30
file content (190 lines) | stat: -rw-r--r-- 11,941 bytes parent folder | download
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=UTF-8">
<meta name="robots" content="none">
<title>QuantLib: TsiveriotisFernandesLattice Class Template Reference</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>

<div id="container">
<div id="header">
<img class="titleimage"
 src="QL-title.jpg" width="212" height="47" border="0"
 alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">

<h3 class="navbartitle">Version 0.9.0</h3>

<hr>

<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="overview.html">Project overview</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>

<hr>

<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>

<div id="content">
<!--Doxygen-generated content-->

<!-- Generated by Doxygen 1.5.4 -->
<div class="nav">
<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_tsiveriotis_fernandes_lattice.html">TsiveriotisFernandesLattice</a></div>
<h1>TsiveriotisFernandesLattice Class Template Reference<br>
<small>
[<a class="el" href="group__lattices.html">Lattice methods</a>]</small>
</h1><!-- doxytag: class="QuantLib::TsiveriotisFernandesLattice" --><!-- doxytag: inherits="QuantLib::BlackScholesLattice" --><code>#include &lt;ql/methods/lattices/tflattice.hpp&gt;</code>
<p>
<div class="dynheader">
Inheritance diagram for TsiveriotisFernandesLattice:</div>
<div class="dynsection">
<p><center><img src="class_quant_lib_1_1_tsiveriotis_fernandes_lattice__inherit__graph.png" border="0" usemap="#_tsiveriotis_fernandes_lattice__inherit__map" alt="Inheritance graph"></center>
<map name="_tsiveriotis_fernandes_lattice__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_black_scholes_lattice.html" title="Simple binomial lattice approximating the Black&#45;Scholes model." alt="" coords="9,7,193,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>

<p>
<a href="class_quant_lib_1_1_tsiveriotis_fernandes_lattice-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
<h3>template&lt;class T&gt;<br>
 class QuantLib::TsiveriotisFernandesLattice&lt; T &gt;</h3>

Binomial lattice approximating the Tsiveriotis-Fernandes model. 
<p>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="30b721d3cc2fd13a1dee5ce175854ae2"></a><!-- doxytag: member="QuantLib::TsiveriotisFernandesLattice::TsiveriotisFernandesLattice" ref="30b721d3cc2fd13a1dee5ce175854ae2" args="(const boost::shared_ptr&lt; T &gt; &amp;tree, Rate riskFreeRate, Time end, Size steps, Real creditSpread, Volatility volatility, Spread divYield)" -->
&nbsp;</td><td class="memItemRight" valign="bottom"><b>TsiveriotisFernandesLattice</b> (const boost::shared_ptr&lt; T &gt; &amp;tree, <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> riskFreeRate, <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> end, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> steps, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> creditSpread, <a class="el" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> volatility, <a class="el" href="group__types.html#ge7427f4743503002b0c6eeeefae91a3d">Spread</a> divYield)</td></tr>

<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ec4742c5ccf23463c537d0e7d6990607"></a><!-- doxytag: member="QuantLib::TsiveriotisFernandesLattice::riskFreeRate" ref="ec4742c5ccf23463c537d0e7d6990607" args="() const " -->
<a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a>&nbsp;</td><td class="memItemRight" valign="bottom"><b>riskFreeRate</b> () const </td></tr>

<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7fc42fb5dd36799781272d38da623485"></a><!-- doxytag: member="QuantLib::TsiveriotisFernandesLattice::creditSpread" ref="7fc42fb5dd36799781272d38da623485" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>&nbsp;</td><td class="memItemRight" valign="bottom"><b>creditSpread</b> () const </td></tr>

<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d8ca4fb934d88bd81fa0aa328f4fd381"></a><!-- doxytag: member="QuantLib::TsiveriotisFernandesLattice::dt" ref="d8ca4fb934d88bd81fa0aa328f4fd381" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>&nbsp;</td><td class="memItemRight" valign="bottom"><b>dt</b> () const </td></tr>

<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ab5acdb0edd72734833836c3a037fd04"></a><!-- doxytag: member="QuantLib::TsiveriotisFernandesLattice::stepback" ref="ab5acdb0edd72734833836c3a037fd04" args="(Size i, const Array &amp;values, const Array &amp;conversionProbability, const Array &amp;spreadAdjustedRate, Array &amp;newValues, Array &amp;newConversionProbability, Array &amp;newSpreadAdjustedRate) const " -->
void&nbsp;</td><td class="memItemRight" valign="bottom"><b>stepback</b> (<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> i, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &amp;values, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &amp;conversionProbability, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &amp;spreadAdjustedRate, <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &amp;newValues, <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &amp;newConversionProbability, <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &amp;newSpreadAdjustedRate) const </td></tr>

<tr><td class="memItemLeft" nowrap align="right" valign="top">void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_tsiveriotis_fernandes_lattice.html#47fadd8835bd6040e705f4a46c46ad86">rollback</a> (<a class="el" href="class_quant_lib_1_1_discretized_asset.html">DiscretizedAsset</a> &amp;, <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> to) const </td></tr>

<tr><td class="memItemLeft" nowrap align="right" valign="top">void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_tsiveriotis_fernandes_lattice.html#90141038ed4cf080568664474ee02524">partialRollback</a> (<a class="el" href="class_quant_lib_1_1_discretized_asset.html">DiscretizedAsset</a> &amp;, <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> to) const </td></tr>

</table>
<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="47fadd8835bd6040e705f4a46c46ad86"></a><!-- doxytag: member="QuantLib::TsiveriotisFernandesLattice::rollback" ref="47fadd8835bd6040e705f4a46c46ad86" args="(DiscretizedAsset &amp;, Time to) const " -->
<div class="memitem">
<div class="memproto">
      <table class="memname">
        <tr>
          <td class="memname">void rollback           </td>
          <td>(</td>
          <td class="paramtype"><a class="el" href="class_quant_lib_1_1_discretized_asset.html">DiscretizedAsset</a> &amp;&nbsp;</td>
          <td class="paramname">, </td>
        </tr>
        <tr>
          <td class="paramkey"></td>
          <td></td>
          <td class="paramtype"><a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a>&nbsp;</td>
          <td class="paramname"> <em>to</em></td><td>&nbsp;</td>
        </tr>
        <tr>
          <td></td>
          <td>)</td>
          <td></td><td></td><td width="100%"> const<code> [protected, virtual]</code></td>
        </tr>
      </table>
</div>
<div class="memdoc">

<p>
Roll back an asset until the given time, performing any needed adjustment. 
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_tree_lattice.html#47fadd8835bd6040e705f4a46c46ad86">TreeLattice</a>.</p>

</div>
</div><p>
<a class="anchor" name="90141038ed4cf080568664474ee02524"></a><!-- doxytag: member="QuantLib::TsiveriotisFernandesLattice::partialRollback" ref="90141038ed4cf080568664474ee02524" args="(DiscretizedAsset &amp;, Time to) const " -->
<div class="memitem">
<div class="memproto">
      <table class="memname">
        <tr>
          <td class="memname">void partialRollback           </td>
          <td>(</td>
          <td class="paramtype"><a class="el" href="class_quant_lib_1_1_discretized_asset.html">DiscretizedAsset</a> &amp;&nbsp;</td>
          <td class="paramname">, </td>
        </tr>
        <tr>
          <td class="paramkey"></td>
          <td></td>
          <td class="paramtype"><a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a>&nbsp;</td>
          <td class="paramname"> <em>to</em></td><td>&nbsp;</td>
        </tr>
        <tr>
          <td></td>
          <td>)</td>
          <td></td><td></td><td width="100%"> const<code> [protected, virtual]</code></td>
        </tr>
      </table>
</div>
<div class="memdoc">

<p>
Roll back an asset until the given time, but do not perform the final adjustment.<p>
<dl compact><dt><b><a class="el" href="caveats.html#_caveats000068">Warning:</a></b></dt><dd>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: <div class="fragment"><pre class="fragment">                     method-&gt;rollAlmostBack(asset,t);
</pre></div> with the two statements: <div class="fragment"><pre class="fragment">                     method-&gt;partialRollback(asset,t);
                     asset-&gt;preAdjustValues();
</pre></div> </dd></dl>

<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_tree_lattice.html#90141038ed4cf080568664474ee02524">TreeLattice</a>.</p>

</div>
</div><p>

</div>

<div class="footer">
<div class="endmatter">
Documentation generated by
<a href="http://www.doxygen.org">Doxygen</a> 1.5.4
</div>
</div>

</div>

</body>
</html>