TsiveriotisFernandesLattice Class Template Reference
[Lattice methods]

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

#include <ql/experimental/convertiblebonds/tflattice.hpp>

Inheritance diagram for TsiveriotisFernandesLattice:

List of all members.

Public Member Functions

 TsiveriotisFernandesLattice (const boost::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
void partialRollback (DiscretizedAsset &, Time to) const


Detailed Description

template<class T>
class QuantLib::TsiveriotisFernandesLattice< T >

Binomial lattice approximating the Tsiveriotis-Fernandes model.


Member Function Documentation

void rollback ( DiscretizedAsset ,
Time  to 
) const [protected, virtual]

Roll back an asset until the given time, performing any needed adjustment.

Reimplemented from TreeLattice.

void partialRollback ( DiscretizedAsset ,
Time  to 
) const [protected, virtual]

Roll back an asset until the given time, but do not perform the final adjustment.

Warning:
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:
                     method->rollAlmostBack(asset,t);
with the two statements:
                     method->partialRollback(asset,t);
                     asset->preAdjustValues();

Reimplemented from TreeLattice.