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

#include <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

Public Member Functions inherited from BlackScholesLattice< T >
	BlackScholesLattice (const ext::shared_ptr< T > &tree, Rate riskFreeRate, Time end, Size steps)

Rate	riskFreeRate () const

Time	dt () const

Size	size (Size i) const

DiscountFactor	discount (Size, Size) const

void	stepback (Size i, const Array &values, Array &newValues) const

Real	underlying (Size i, Size index) const

Size	descendant (Size i, Size index, Size branch) const

Real	probability (Size i, Size index, Size branch) const

Public Member Functions inherited from TreeLattice1D< BlackScholesLattice< T > >
	TreeLattice1D (const TimeGrid &timeGrid, Size n)

Array	grid (Time t) const override

Real	underlying (Size i, Size index) const

Public Member Functions inherited from TreeLattice< Impl >
	TreeLattice (const TimeGrid &timeGrid, Size n)

void	initialize (DiscretizedAsset &, Time t) const override
	initialize an asset at the given time. More...

Real	presentValue (DiscretizedAsset &) const override
	Computes the present value of an asset using Arrow-Debrew prices. More...

const Array &	statePrices (Size i) const

void	stepback (Size i, const Array &values, Array &newValues) const

Public Member Functions inherited from Lattice
	Lattice (TimeGrid timeGrid)

virtual	~Lattice ()=default

const TimeGrid &	timeGrid () 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

Protected Member Functions inherited from TreeLattice< Impl >
void	computeStatePrices (Size until) const

Protected Member Functions inherited from CuriouslyRecurringTemplate< Impl >
	CuriouslyRecurringTemplate ()=default

	~CuriouslyRecurringTemplate ()=default

Impl &	impl ()

const Impl &	impl () const

Private Attributes
Spread	creditSpread_

Additional Inherited Members
Protected Attributes inherited from BlackScholesLattice< T >
ext::shared_ptr< T >	tree_

Rate	riskFreeRate_

Time	dt_

DiscountFactor	discount_

Real	pd_

Real	pu_

Protected Attributes inherited from TreeLattice< Impl >
std::vector< Array >	statePrices_

Protected Attributes inherited from Lattice
TimeGrid	t_

Detailed Description

template<class T>
class QuantLib::TsiveriotisFernandesLattice< T >

Binomial lattice approximating the Tsiveriotis-Fernandes model.

At this time, this lattice only works with the DiscretizedConvertible class.

Definition at line 39 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 70 of file tflattice.hpp.

Member Function Documentation

◆ creditSpread()

Spread creditSpread ( ) const

Definition at line 49 of file tflattice.hpp.

◆ 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 87 of file tflattice.hpp.

◆ rollback()

void rollback	(	DiscretizedAsset &	,
		Time	to
	)		const

overrideprotectedvirtual

Roll back an asset until the given time, performing any needed adjustment.

Reimplemented from TreeLattice< Impl >.

Definition at line 119 of file tflattice.hpp.

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◆ partialRollback()

void partialRollback	(	DiscretizedAsset &	,
		Time	to
	)		const

overrideprotectedvirtual

Roll back an asset until the given time, but do not perform the final adjustment.

Warning:: In version 0.3.7 and earlier, this method was called rollAlmostBack method and performed pre-adjustment. This is no longer true; when migrating your code, you'll have to replace calls such as:

method->rollAlmostBack(asset,t);

t

const DefaultType & t

Definition: defaultprobabilitykey.cpp:39

with the two statements:

method->partialRollback(asset,t);

asset->preAdjustValues();

Reimplemented from TreeLattice< Impl >.

Definition at line 127 of file tflattice.hpp.

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Member Data Documentation

◆ creditSpread_

Spread creditSpread_

private

Definition at line 63 of file tflattice.hpp.

Public Member Functions

Protected Member Functions

Private Attributes

Additional Inherited Members