riskFreeRate (3) - Linux Manuals

riskFreeRate: Binomial lattice approximating the Tsiveriotis-Fernandes model.

Command to display riskFreeRate manual in Linux: $ man 3 riskFreeRate

NAME

QuantLib::TsiveriotisFernandesLattice - Binomial lattice approximating the Tsiveriotis-Fernandes model.

SYNOPSIS

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

Inherits BlackScholesLattice< T >.

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

Detailed Description

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

Binomial lattice approximating the Tsiveriotis-Fernandes model.

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();