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

#include <binomialconvertibleengine.hpp>

Inheritance diagram for BinomialConvertibleEngine< T >:

Collaboration diagram for BinomialConvertibleEngine< T >:

Public Member Functions
	BinomialConvertibleEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process, Size timeSteps, const Handle< Quote > &creditSpread, DividendSchedule dividends=DividendSchedule())

void	calculate () const override

const Handle< Quote > &	creditSpread () const

const DividendSchedule &	dividends () const

Public Member Functions inherited from GenericEngine< ConvertibleBond::arguments, ConvertibleBond::results >
PricingEngine::arguments *	getArguments () const override

const PricingEngine::results *	getResults () const override

void	reset () override

void	update () override

Public Member Functions inherited from PricingEngine
	~PricingEngine () override=default

virtual arguments *	getArguments () const =0

virtual const results *	getResults () const =0

virtual void	reset ()=0

virtual void	calculate () const =0

Public Member Functions inherited from Observable
	Observable ()

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	update ()=0

virtual void	deepUpdate ()

Private Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	process_

Size	timeSteps_

DividendSchedule	dividends_

Handle< Quote >	creditSpread_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Attributes inherited from GenericEngine< ConvertibleBond::arguments, ConvertibleBond::results >
ConvertibleBond::arguments	arguments_

ConvertibleBond::results	results_

Detailed Description

template<class T>
class QuantLib::BinomialConvertibleEngine< T >

Binomial Tsiveriotis-Fernandes engine for convertible bonds.

Definition at line 46 of file binomialconvertibleengine.hpp.

Constructor & Destructor Documentation

◆ BinomialConvertibleEngine()

BinomialConvertibleEngine	(	ext::shared_ptr< GeneralizedBlackScholesProcess >	process,
		Size	timeSteps,
		const Handle< Quote > &	creditSpread,
		DividendSchedule	dividends = `DividendSchedule()`
	)