ql/pricingengines/hybrid/binomialconvertibleengine.hpp File Reference
Detailed Description
binomial engine for convertible bonds
#include <ql/methods/lattices/tflattice.hpp>
#include <ql/pricingengines/hybrid/discretizedconvertible.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/termstructures/yieldcurves/flatforward.hpp>
#include <ql/termstructures/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... |