Package org.jquantlib.pricingengines.hybrid

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

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        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();
    }

}
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                new DiscretizedConvertible(this.a, bs,
                                                 new TimeGrid(maturity, timeSteps_));

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

}
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