binomialconvertibleengine.hpp File Reference

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...

Detailed Description

binomial engine for convertible bonds