Examples of org.jquantlib.methods.lattices.Lattice

        } catch (final Exception e) {
            throw new LibraryException(e); // QA:[RG]::verified
        }


        final /*@Real*/ double creditSpread = a.creditSpread.currentLink().value();
        final Lattice lattice = new TsiveriotisFernandesLattice<T>(tree, riskFreeRate, maturity, timeSteps_, creditSpread, v, q);
        final DiscretizedConvertible convertible = new DiscretizedConvertible((ConvertibleBondOption.Arguments)a, bs, new TimeGrid(maturity, timeSteps_));


        convertible.initialize(lattice, maturity);
        convertible.rollback(0.0);
        r.value = convertible.presentValue();

            throw new LibraryException(e); // QA:[RG]::verified
        }


        final double creditSpread = this.a.creditSpread.currentLink().value();


        final Lattice lattice = new TsiveriotisFernandesLattice<T>(tree,riskFreeRate,maturity,
                                                 timeSteps_,creditSpread,v,q);


        final DiscretizedConvertible convertible = 
                new DiscretizedConvertible(this.a, bs,
                                                 new TimeGrid(maturity, timeSteps_));

Related Classes of org.jquantlib.methods.lattices.Lattice

All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.