TsiveriotisFernandesLattice< T > Class Template Reference

Binomial lattice approximating the Tsiveriotis-Fernandes model. More...

#include <qle/pricingengines/tflattice.hpp>

Inheritance diagram for TsiveriotisFernandesLattice< T >:

Collaboration diagram for TsiveriotisFernandesLattice< T >:

Public Member Functions
	TsiveriotisFernandesLattice (const ext::shared_ptr< T > &tree, Rate riskFreeRate, Time end, Size steps, Spread creditSpread, Volatility volatility, Spread divYield)
Spread	creditSpread () const

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

Private Attributes
Spread	creditSpread_

Detailed Description

template<class T>
class QuantExt::TsiveriotisFernandesLattice< T >

Binomial lattice approximating the Tsiveriotis-Fernandes model.

Definition at line 34 of file tflattice.hpp.

Constructor & Destructor Documentation

TsiveriotisFernandesLattice()

TsiveriotisFernandesLattice	(	const ext::shared_ptr< T > &	tree,
		Rate	riskFreeRate,
		Time	end,
		Size	steps,
		Spread	creditSpread,
		Volatility	volatility,
		Spread	divYield
	)

Definition at line 54 of file tflattice.hpp.

    : BlackScholesLattice<T>(tree, riskFreeRate, end, steps), creditSpread_(creditSpread) {
    QL_REQUIRE(this->pu_ <= 1.0, "probability (" << this->pu_ << ") higher than one");
    QL_REQUIRE(this->pu_ >= 0.0, "negative (" << this->pu_ << ") probability");
}

Member Function Documentation

creditSpread()

Spread creditSpread

(

)

const

Definition at line 39 of file tflattice.hpp.

{ return creditSpread_; };

stepback()

void stepback ( Size  i, const Array &  values, const Array &  conversionProbability, const Array &  spreadAdjustedRate, Array &  newValues, Array &  newConversionProbability, Array &  newSpreadAdjustedRate  ) const

protected

Definition at line 63 of file tflattice.hpp.

                                                                                                                   {
 
    for (Size j = 0; j < this->size(i); j++) {
 
        // new conversion probability is calculated via backward
        // induction using up and down probabilities on tree on
        // previous conversion probabilities, ie weighted average
        // of previous probabilities.
        newConversionProbability[j] = this->pd_ * conversionProbability[j] + this->pu_ * conversionProbability[j + 1];
 
        // Use blended discounting rate
        newSpreadAdjustedRate[j] = newConversionProbability[j] * this->riskFreeRate_ +
                                   (1 - newConversionProbability[j]) * (this->riskFreeRate_ + creditSpread_);
 
        newValues[j] = (this->pd_ * values[j] / (1 + (spreadAdjustedRate[j] * this->dt_))) +
                       (this->pu_ * values[j + 1] / (1 + (spreadAdjustedRate[j + 1] * this->dt_)));
    }
}

rollback()

void rollback ( DiscretizedAsset &  asset, Time  to  ) const

overrideprotected

Definition at line 84 of file tflattice.hpp.

                                                                                                       {
    partialRollback(asset, to);
    asset.adjustValues();
}

partialRollback()

void partialRollback ( DiscretizedAsset &  asset, Time  to  ) const

overrideprotected

Definition at line 89 of file tflattice.hpp.

                                                                                                              {
 
    Time from = asset.time();
 
    if (close(from, to))
        return;
 
    QL_REQUIRE(from > to, "cannot roll the asset back to" << to << " (it is already at t = " << from << ")");
 
    QuantExt::DiscretizedConvertible& convertible = dynamic_cast<QuantExt::DiscretizedConvertible&>(asset);
 
    Integer iFrom = Integer(this->t_.index(from));
    Integer iTo = Integer(this->t_.index(to));
 
    for (Integer i = iFrom - 1; i >= iTo; --i) {
 
        Array newValues(this->size(i));
        Array newSpreadAdjustedRate(this->size(i));
        Array newConversionProbability(this->size(i));
 
        stepback(i, convertible.values(), convertible.conversionProbability(), convertible.spreadAdjustedRate(),
                 newValues, newConversionProbability, newSpreadAdjustedRate);
 
        convertible.time() = this->t_[i];
        convertible.values() = newValues;
        convertible.spreadAdjustedRate() = newSpreadAdjustedRate;
        convertible.conversionProbability() = newConversionProbability;
 
        // skip the very last adjustment
        if (i != iTo)
            convertible.adjustValues();
    }
}

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Member Data Documentation

creditSpread_

Spread creditSpread_

private

Definition at line 48 of file tflattice.hpp.