Binomial Tsiveriotis-Fernandes tree model. More...
#include <qle/pricingengines/discretizedconvertible.hpp>
#include <ql/methods/lattices/bsmlattice.hpp>
Classes | |
class | TsiveriotisFernandesLattice< T > |
Binomial lattice approximating the Tsiveriotis-Fernandes model. More... | |
Binomial Tsiveriotis-Fernandes tree model.