org.jquantlib.methods.lattices

Class TsiveriotisFernandesLattice<T extends Tree>

java.lang.Object

org.jquantlib.methods.lattices.Lattice

org.jquantlib.methods.lattices.TreeLattice

org.jquantlib.methods.lattices.TreeLattice1D

org.jquantlib.methods.lattices.BlackScholesLattice<T>

org.jquantlib.methods.lattices.TsiveriotisFernandesLattice<T>

public class TsiveriotisFernandesLattice<T extends Tree>
extends BlackScholesLattice<T>

Binomial lattice approximating the Tsiveriotis-Fernandes model

Constructor Summary

Constructors

Constructor and Description
TsiveriotisFernandesLattice(T tree, double riskFreeRate, double end, int steps, double creditSpread, double sigma, double divYield)

Method Summary

Modifier and Type	Method and Description
void	partialRollback(DiscretizedAsset asset, double to) Roll back an asset until the given time, but do not perform the final adjustment.
void	rollback(DiscretizedAsset asset, double to) Roll back an asset until the given time, performing any needed adjustment.
void	stepback(int i, Array values, Array conversionProbability, Array spreadAdjustedRate, Array newValues, Array newConversionProbability, Array newSpreadAdjustedRate)

Methods inherited from class org.jquantlib.methods.lattices.BlackScholesLattice

descendant, discount, probability, size, stepback, underlying

Methods inherited from class org.jquantlib.methods.lattices.TreeLattice1D

grid

Methods inherited from class org.jquantlib.methods.lattices.TreeLattice

initialize, presentValue, statePrices

Methods inherited from class org.jquantlib.methods.lattices.Lattice

timeGrid

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

TsiveriotisFernandesLattice

public TsiveriotisFernandesLattice(T tree,
                                   double riskFreeRate,
                                   double end,
                                   int steps,
                                   double creditSpread,
                                   double sigma,
                                   double divYield)

Method Detail

stepback

public void stepback(int i,
                     Array values,
                     Array conversionProbability,
                     Array spreadAdjustedRate,
                     Array newValues,
                     Array newConversionProbability,
                     Array newSpreadAdjustedRate)

rollback

public void rollback(DiscretizedAsset asset,
                     double to)

Description copied from class: Lattice

Roll back an asset until the given time, performing any needed adjustment.

Overrides:

rollback in class TreeLattice

partialRollback

public void partialRollback(DiscretizedAsset asset,
                            double to)

Description copied from class: Lattice

Roll back an asset until the given time, but do not perform the final adjustment.

Overrides:

partialRollback in class TreeLattice