Binomial lattice approximating the Tsiveriotis-Fernandes model. More...
#include <qle/pricingengines/tflattice.hpp>
Protected Member Functions | |
void | stepback (Size i, const Array &values, const Array &conversionProbability, const Array &spreadAdjustedRate, Array &newValues, Array &newConversionProbability, Array &newSpreadAdjustedRate) const |
void | rollback (DiscretizedAsset &, Time to) const override |
void | partialRollback (DiscretizedAsset &, Time to) const override |
Binomial lattice approximating the Tsiveriotis-Fernandes model.