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QuantLib_LatticeShortRateModelEngine
Langue: en
Version: 381202 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::LatticeShortRateModelEngine -Engine for a short-rate model specialized on a lattice.
SYNOPSIS
#include <ql/pricingengines/latticeshortratemodelengine.hpp>
Inherits GenericModelEngine< ShortRateModel, Arguments, Results >.
Public Member Functions
LatticeShortRateModelEngine (const boost::shared_ptr< ShortRateModel > &model, Size timeSteps)
LatticeShortRateModelEngine (const boost::shared_ptr< ShortRateModel > &model, const TimeGrid &timeGrid)
void update ()
Protected Attributes
TimeGrid timeGrid_
Size timeSteps_
boost::shared_ptr< Lattice > lattice_
Detailed Description
template<class Arguments, class Results> class QuantLib::LatticeShortRateModelEngine< Arguments, Results >
Engine for a short-rate model specialized on a lattice.Derived engines only need to implement the calculate() method
Member Function Documentation
void update () [virtual]This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
Reimplemented from GenericEngine< Arguments, Results >.
Author
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