TsiveriotisFernandesLattice< T > Class Template Reference

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

#include <qle/pricingengines/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

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 override
void	partialRollback (DiscretizedAsset &, Time to) const override

Detailed Description

template<class T>
class QuantExt::TsiveriotisFernandesLattice< T >

Binomial lattice approximating the Tsiveriotis-Fernandes model.