binomialconvertibleengine (3) - Linux Manuals

binomialconvertibleengine: binomial engine for convertible bonds

NAME

ql/pricingengines/hybrid/binomialconvertibleengine.hpp - binomial engine for convertible bonds

SYNOPSIS

#include <ql/methods/lattices/tflattice.hpp>
#include <ql/pricingengines/hybrid/discretizedconvertible.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
#include <ql/instruments/bonds/convertiblebond.hpp>
#include <ql/instruments/payoffs.hpp>

Classes

class BinomialConvertibleEngine< T >
Binomial Tsiveriotis-Fernandes engine for convertible bonds.

Detailed Description

binomial engine for convertible bonds

Author

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