TsiveriotisFernandesLattice Class Template Reference
[Lattice methods]
#include <ql/methods/lattices/tflattice.hpp>
Inheritance diagram for TsiveriotisFernandesLattice:

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: with the two statements:
method->rollAlmostBack(asset,t);
method->partialRollback(asset,t); asset->preAdjustValues();
Reimplemented from TreeLattice< BlackScholesLattice< T > >.