fddefaultableequityjumpdiffusionconvertiblebondengine.cpp File Reference

#include <qle/instruments/convertiblebond2.hpp>
#include <qle/methods/fdmdefaultableequityjumpdiffusionop.hpp>
#include <qle/pricingengines/fdconvertiblebondevents.hpp>
#include <qle/pricingengines/fddefaultableequityjumpdiffusionconvertiblebondengine.hpp>
#include <ql/cashflows/coupon.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/math/interpolations/cubicinterpolation.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
#include <ql/methods/finitedifferences/meshers/uniform1dmesher.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
#include <ql/timegrid.hpp>

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Namespaces
namespace	QuantExt

Functions
Real	getCallPriceAmount (const FdConvertibleBondEvents::CallData &cd, Real notional, Real accruals)
Real	interpolateValueFromPlanes (const Real conversionRatio, const std::vector< Array > &value, const std::vector< Real > &stochasticConversionRatios, const Size j)