QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
binomialconvertibleengine.hpp File Reference

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>

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Classes

class  BinomialConvertibleEngine< T >
 Binomial Tsiveriotis-Fernandes engine for convertible bonds. More...
 

Namespaces

namespace  QuantLib
 

Detailed Description

binomial engine for convertible bonds

Definition in file binomialconvertibleengine.hpp.