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<title>QuantLib: TsiveriotisFernandesLattice Class Template Reference</title>
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<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">
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          <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>
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<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">
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          <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>
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<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>

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