TsiveriotisFernandesLattice Class Template Reference
[Lattice methods]

#include <ql/methods/lattices/tflattice.hpp>

Inheritance diagram for TsiveriotisFernandesLattice:

Inheritance graph
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List of all members.

Detailed Description

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

Binomial lattice approximating the Tsiveriotis-Fernandes model.


Public Member Functions

 TsiveriotisFernandesLattice (const boost::shared_ptr< T > &tree, Rate riskFreeRate, Time end, Size steps, Real creditSpread, Volatility volatility, Spread divYield)
Rate riskFreeRate () const
Real creditSpread () const
Real dt () 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


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< BlackScholesLattice< T > >.

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< BlackScholesLattice< T > >.