ql/PricingEngines/Hybrid/binomialconvertibleengine.hpp File Reference
Detailed Description
binomial engine for convertible bonds
#include <ql/Lattices/tflattice.hpp>
#include <ql/PricingEngines/Hybrid/discretizedconvertible.hpp>
#include <ql/Processes/blackscholesprocess.hpp>
#include <ql/TermStructures/flatforward.hpp>
#include <ql/Volatilities/blackconstantvol.hpp>
#include <ql/Instruments/convertiblebond.hpp>
Include dependency graph for binomialconvertibleengine.hpp:

Namespaces | |
namespace | QuantLib |
Classes | |
class | BinomialConvertibleEngine |
Binomial Tsiveriotis-Fernandes engine for convertible bonds. More... |