ql/Lattices/tflattice.hpp File Reference


Detailed Description

Binomial Tsiveriotis-Fernandes tree model.

#include <ql/Lattices/bsmlattice.hpp>
#include <ql/PricingEngines/Hybrid/discretizedconvertible.hpp>
#include <ql/daycounter.hpp>
#include <ql/calendar.hpp>

Include dependency graph for tflattice.hpp:


Namespaces

namespace  QuantLib

Classes

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