tflattice (3) - Linux Manuals

tflattice: Binomial Tsiveriotis-Fernandes tree model.

NAME

ql/methods/lattices/tflattice.hpp - Binomial Tsiveriotis-Fernandes tree model.

SYNOPSIS

#include <ql/methods/lattices/bsmlattice.hpp>
#include <ql/pricingengines/hybrid/discretizedconvertible.hpp>

Classes

class TsiveriotisFernandesLattice< T >
Binomial lattice approximating the Tsiveriotis-Fernandes model.

Detailed Description

Binomial Tsiveriotis-Fernandes tree model.

Author

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