TsiveriotisFernandesLattice< T > Class Template Reference

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

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

Inheritance diagram for TsiveriotisFernandesLattice< T >:

Public Member Functions
	TsiveriotisFernandesLattice (const ext::shared_ptr< T > &tree, Rate riskFreeRate, Time end, Size steps, Spread creditSpread, Volatility volatility, Spread divYield)
Spread	creditSpread () const
Public Member Functions inherited from BlackScholesLattice< T >
	BlackScholesLattice (const ext::shared_ptr< T > &tree, Rate riskFreeRate, Time end, Size steps)
Rate	riskFreeRate () const
Time	dt () const
Size	size (Size i) const
DiscountFactor	discount (Size, Size) const
void	stepback (Size i, const Array &values, Array &newValues) const
Real	underlying (Size i, Size index) const
Size	descendant (Size i, Size index, Size branch) const
Real	probability (Size i, Size index, Size branch) const
Public Member Functions inherited from TreeLattice1D< BlackScholesLattice< T > >
	TreeLattice1D (const TimeGrid &timeGrid, Size n)
Array	grid (Time t) const override
Real	underlying (Size i, Size index) const
Public Member Functions inherited from TreeLattice< BlackScholesLattice< T > >
	TreeLattice (const TimeGrid &timeGrid, Size n)
void	initialize (DiscretizedAsset &, Time t) const override
	initialize an asset at the given time.
Real	presentValue (DiscretizedAsset &) const override
	Computes the present value of an asset using Arrow-Debrew prices.
const Array &	statePrices (Size i) const
void	stepback (Size i, const Array &values, Array &newValues) const
Public Member Functions inherited from Lattice
	Lattice (TimeGrid timeGrid)
const TimeGrid &	timeGrid () 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 override
void	partialRollback (DiscretizedAsset &, Time to) const override
void	computeStatePrices (Size until) const
Protected Member Functions inherited from CuriouslyRecurringTemplate< BlackScholesLattice< T > >
BlackScholesLattice< T > &	impl ()

Additional Inherited Members
Protected Attributes inherited from BlackScholesLattice< T >
ext::shared_ptr< T >	tree_
Rate	riskFreeRate_
Time	dt_
DiscountFactor	discount_
Real	pd_
Real	pu_
std::vector< Array >	statePrices_
TimeGrid	t_

Detailed Description

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

Binomial lattice approximating the Tsiveriotis-Fernandes model.

At this time, this lattice only works with the DiscretizedConvertible class.

Member Function Documentation

rollback()

template<class T>

void rollback ( DiscretizedAsset & asset, Time to ) const

overrideprotectedvirtual

Roll back an asset until the given time, performing any needed adjustment.

Reimplemented from TreeLattice< BlackScholesLattice< T > >.

partialRollback()

template<class T>

void partialRollback ( DiscretizedAsset & asset, Time to ) const

overrideprotectedvirtual

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 > >.