binomial engine for convertible bonds More...
#include <qle/instruments/convertiblebond.hpp>
#include <qle/pricingengines/discretizedconvertible.hpp>
#include <qle/pricingengines/tflattice.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/termstructures/defaulttermstructure.hpp>
#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
Classes | |
class | BinomialConvertibleEngine< T > |
Binomial Tsiveriotis-Fernandes engine for convertible bonds. More... | |
binomial engine for convertible bonds