BinomialConvertibleEngine (3) - Linux Manuals

BinomialConvertibleEngine: Binomial Tsiveriotis-Fernandes engine for convertible bonds.

NAME

QuantLib::BinomialConvertibleEngine - Binomial Tsiveriotis-Fernandes engine for convertible bonds.

SYNOPSIS

#include <ql/pricingengines/hybrid/binomialconvertibleengine.hpp>

Inherits QuantLib::ConvertibleBond::option::engine.

Public Member Functions

BinomialConvertibleEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps)

void calculate () const

Detailed Description

template<class T> class QuantLib::BinomialConvertibleEngine< T >

Binomial Tsiveriotis-Fernandes engine for convertible bonds.

Examples:

ConvertibleBonds.cpp.

Author

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