binomial engine for convertible bonds More...
#include <ql/experimental/convertiblebonds/discretizedconvertible.hpp>#include <ql/experimental/convertiblebonds/convertiblebond.hpp>#include <ql/experimental/convertiblebonds/tflattice.hpp>#include <ql/processes/blackscholesprocess.hpp>#include <ql/termstructures/yield/flatforward.hpp>#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>#include <ql/instruments/payoffs.hpp>
Classes | |
| class | BinomialConvertibleEngine< T > |
| Binomial Tsiveriotis-Fernandes engine for convertible bonds. More... | |
binomial engine for convertible bonds