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 <ql/methods/lattices/tflattice.hpp></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-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<class T><br>
class QuantLib::TsiveriotisFernandesLattice< T ></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< T > &tree, Rate riskFreeRate, Time end, Size steps, Real creditSpread, Volatility volatility, Spread divYield)" -->
</td><td class="memItemRight" valign="bottom"><b>TsiveriotisFernandesLattice</b> (const boost::shared_ptr< T > &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> </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> </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> </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 &values, const Array &conversionProbability, const Array &spreadAdjustedRate, Array &newValues, Array &newConversionProbability, Array &newSpreadAdjustedRate) const " -->
void </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> &values, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &conversionProbability, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &spreadAdjustedRate, <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &newValues, <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &newConversionProbability, <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &newSpreadAdjustedRate) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </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> &, <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> to) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </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> &, <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 &, 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> & </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> </td>
<td class="paramname"> <em>to</em></td><td> </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 &, 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> & </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> </td>
<td class="paramname"> <em>to</em></td><td> </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->rollAlmostBack(asset,t);
</pre></div> with the two statements: <div class="fragment"><pre class="fragment"> method->partialRollback(asset,t);
asset->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>
|