ql/PricingEngines/Hybrid/binomialconvertibleengine.hpp File Reference


Detailed Description

binomial engine for convertible bonds

#include <ql/Lattices/tflattice.hpp>
#include <ql/PricingEngines/Hybrid/discretizedconvertible.hpp>
#include <ql/Processes/blackscholesprocess.hpp>
#include <ql/TermStructures/flatforward.hpp>
#include <ql/Volatilities/blackconstantvol.hpp>
#include <ql/Instruments/convertiblebond.hpp>

Include dependency graph for binomialconvertibleengine.hpp:


Namespaces

namespace  QuantLib

Classes

class  BinomialConvertibleEngine
 Binomial Tsiveriotis-Fernandes engine for convertible bonds. More...