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_ |
Binomial lattice approximating the Tsiveriotis-Fernandes model.
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protectedvirtual |
Roll back an asset until the given time, performing any needed adjustment.
Implements Lattice.
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protectedvirtual |
Roll back an asset until the given time, but do not perform the final adjustment.
with the two statements:
Implements Lattice.