Binomial Tsiveriotis-Fernandes engine for convertible bonds.
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#include <qle/pricingengines/binomialconvertibleengine.hpp>
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| BinomialConvertibleEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, const Handle< YieldTermStructure > &referenceCurve, const Handle< Quote > &creditSpread, const Handle< DefaultProbabilityTermStructure > &defaultCurve, const Handle< Quote > &recoveryRate, Size timeSteps) |
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void | calculate () const override |
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template<class T>
class QuantExt::BinomialConvertibleEngine< T >
Binomial Tsiveriotis-Fernandes engine for convertible bonds.