QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
binomial engine for convertible bonds More...
#include <ql/instruments/bonds/convertiblebonds.hpp>
#include <ql/pricingengines/bond/discretizedconvertible.hpp>
#include <ql/methods/lattices/tflattice.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <utility>
Go to the source code of this file.
Classes | |
class | BinomialConvertibleEngine< T > |
Binomial Tsiveriotis-Fernandes engine for convertible bonds. More... | |
Namespaces | |
namespace | QuantLib |
binomial engine for convertible bonds
Definition in file binomialconvertibleengine.hpp.