Package org.jquantlib.pricingengines.hybrid

Examples of org.jquantlib.pricingengines.hybrid.DiscretizedConvertible.initialize()


        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();
    }

}
View Full Code Here


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

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

}
View Full Code Here

TOP
Copyright © 2018 www.massapi.com. All rights reserved.
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.