QuantLib: a free/open-source library for quantitative finance
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Public Member Functions | Private Attributes | List of all members
BinomialConvertibleEngine< T > Class Template Reference

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

#include <ql/pricingengines/bond/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 DividendScheduledividends () const
 
- Public Member Functions inherited from GenericEngine< ConvertibleBond::arguments, ConvertibleBond::results >
PricingEngine::argumentsgetArguments () const override
 
const PricingEngine::resultsgetResults () const override
 
void reset () override
 
void update () override
 
- Public Member Functions inherited from PricingEngine
 ~PricingEngine () override=default
 
virtual argumentsgetArguments () const =0
 
virtual const resultsgetResults () const =0
 
virtual void reset ()=0
 
virtual void calculate () const =0
 
- Public Member Functions inherited from Observable
 Observable ()
 
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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< GeneralizedBlackScholesProcessprocess_
 
Size timeSteps_
 
DividendSchedule dividends_
 
Handle< QuotecreditSpread_
 

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() 
)

Definition at line 48 of file binomialconvertibleengine.hpp.

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Member Function Documentation

◆ calculate()

void calculate
overridevirtual

Implements PricingEngine.

Definition at line 75 of file binomialconvertibleengine.hpp.

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◆ creditSpread()

const Handle< Quote > & creditSpread ( ) const

Definition at line 63 of file binomialconvertibleengine.hpp.

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◆ dividends()

const DividendSchedule & dividends ( ) const

Definition at line 64 of file binomialconvertibleengine.hpp.

Member Data Documentation

◆ process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_
private

Definition at line 67 of file binomialconvertibleengine.hpp.

◆ timeSteps_

Size timeSteps_
private

Definition at line 68 of file binomialconvertibleengine.hpp.

◆ dividends_

DividendSchedule dividends_
private

Definition at line 69 of file binomialconvertibleengine.hpp.

◆ creditSpread_

Handle<Quote> creditSpread_
private

Definition at line 70 of file binomialconvertibleengine.hpp.