BinomialConvertibleEngine< T > Class Template Reference

Binomial Tsiveriotis-Fernandes engine for convertible bonds. More...

#include <qle/pricingengines/binomialconvertibleengine.hpp>

Inheritance diagram for BinomialConvertibleEngine< T >:

Public Member Functions
	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)
void	calculate () const override

Detailed Description

template<class T>
class QuantExt::BinomialConvertibleEngine< T >

Binomial Tsiveriotis-Fernandes engine for convertible bonds.