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QuantLib_TreeVanillaSwapEngine

NAME

QuantLib::TreeVanillaSwapEngine -

Numerical lattice engine for simple swaps.

SYNOPSIS

#include <ql/pricingengines/swap/treeswapengine.hpp>

Inherits LatticeShortRateModelEngine< VanillaSwap::arguments, VanillaSwap::results >.

Public Member Functions

void calculate () const

Constructors

 

Note:

the term structure is only needed when the short-rate model cannot provide one itself.

TreeVanillaSwapEngine (const boost::shared_ptr< ShortRateModel > &, Size timeSteps, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >())

TreeVanillaSwapEngine (const boost::shared_ptr< ShortRateModel > &, const TimeGrid &timeGrid, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >())

Detailed Description

Numerical lattice engine for simple swaps.

Tests

calculations are checked against known good results

Author

Generated automatically by Doxygen for QuantLib from the source code.