Binomial Tsiveriotis-Fernandes engine for convertible bonds. More...
#include <ql/experimental/convertiblebonds/binomialconvertibleengine.hpp>
Inherits ConvertibleBond::option::engine.
Public Member Functions | |
| BinomialConvertibleEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps) | |
| void | calculate () const |
Binomial Tsiveriotis-Fernandes engine for convertible bonds.