TreeSwaptionEngine Class Reference
[Swaption engines]
#include <ql/pricingengines/swaption/treeswaptionengine.hpp>
Inheritance diagram for TreeSwaptionEngine:

Detailed Description
Numerical lattice engine for swaptions.
- Warning:
- This engine is not guaranteed to work if the underlying swap has a start date in the past, i.e., before today's date. When using this engine, prune the initial part of the swap so that it starts at
.
- Tests:
- calculations are checked against cached results
- Examples:
Public Member Functions | |
TreeSwaptionEngine (const boost::shared_ptr< ShortRateModel > &, Size timeSteps) | |
TreeSwaptionEngine (const boost::shared_ptr< ShortRateModel > &, const TimeGrid &timeGrid) | |
void | calculate () const |