Class BinomialCRRConvertibleEngine

Namespace: NanoQL.PricingEngines

Assembly: NanoQL.dll

The binomial convertible engine on the Cox-Ross-Rubinstein tree: QuantLib-Python's BinomialCRRConvertibleEngine, QuantLib's BinomialConvertibleEngine<CoxRossRubinstein>.

public static class BinomialCRRConvertibleEngine

Inheritance: object

BinomialCRRConvertibleEngine

Inherited Members: object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Methods

Calculate(ConvertibleBond, EvaluationContext, GeneralizedBlackScholesProcess, int, double, ImmutableArray<Dividend>)

Prices a convertible bond on the Cox-Ross-Rubinstein tree.

public static BondResults Calculate(ConvertibleBond bond, EvaluationContext context, GeneralizedBlackScholesProcess process, int timeSteps, double creditSpread, ImmutableArray<Dividend> dividends = default)

Parameters

bond ConvertibleBond: The convertible bond.
context EvaluationContext: The evaluation context.
process GeneralizedBlackScholesProcess: The Black-Scholes process of the underlying.
timeSteps int: The number of time steps, positive.
creditSpread double: The credit spread.
dividends ImmutableArray<Dividend>: The underlying's dividends; none by default.

Returns

BondResults: The results, as Calculate<TTree>(ConvertibleBond, EvaluationContext, GeneralizedBlackScholesProcess, int, double, ImmutableArray<Dividend>) gives them.

Exceptions

ArgumentNullException: The bond, the context or the process is null.
ArgumentOutOfRangeException: timeSteps is negative.
ArgumentException: timeSteps is 0, or a dividend is null.
NanoQLException: The bond can't be priced.