TsiveriotisFernandesLattice< T > Class Template Reference

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

#include <tflattice.hpp>

Inheritance diagram for TsiveriotisFernandesLattice< T >:

Collaboration 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< Impl >
	TreeLattice (const TimeGrid &timeGrid, Size n)
void	initialize (DiscretizedAsset &, Time t) const override
	initialize an asset at the given time. More...
Real	presentValue (DiscretizedAsset &) const override
	Computes the present value of an asset using Arrow-Debrew prices. More...
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)
virtual	~Lattice ()=default
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
Protected Member Functions inherited from TreeLattice< Impl >
void	computeStatePrices (Size until) const
Protected Member Functions inherited from CuriouslyRecurringTemplate< Impl >
	CuriouslyRecurringTemplate ()=default
	~CuriouslyRecurringTemplate ()=default
Impl &	impl ()
const Impl &	impl () const

Private Attributes
Spread	creditSpread_

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

Definition at line 39 of file tflattice.hpp.

Constructor & Destructor Documentation

TsiveriotisFernandesLattice()

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

Definition at line 70 of file tflattice.hpp.

Member Function Documentation

creditSpread()

Spread creditSpread

(

)

const

Definition at line 49 of file tflattice.hpp.

stepback()

void stepback ( Size  i, const Array &  values, const Array &  conversionProbability, const Array &  spreadAdjustedRate, Array &  newValues, Array &  newConversionProbability, Array &  newSpreadAdjustedRate  ) const

protected

Definition at line 87 of file tflattice.hpp.

rollback()

void rollback ( DiscretizedAsset &  , Time  to  ) const

overrideprotectedvirtual

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

Reimplemented from TreeLattice< Impl >.

Definition at line 119 of file tflattice.hpp.

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partialRollback()

void partialRollback ( DiscretizedAsset &  , 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< Impl >.

Definition at line 127 of file tflattice.hpp.

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Member Data Documentation

creditSpread_

Spread creditSpread_

private

Definition at line 63 of file tflattice.hpp.