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QuantLib_TreeVanillaSwapEngine
Langue: en
Version: 373860 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
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
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