TreeVanillaSwapEngine Class Reference
#include <ql/pricingengines/swaption/treeswaptionengine.hpp>
Inheritance diagram for TreeVanillaSwapEngine:

Detailed Description
Numerical lattice engine for simple swaps.
- Tests:
- calculations are checked against known good results
Public Member Functions | |
TreeVanillaSwapEngine (const boost::shared_ptr< ShortRateModel > &, Size timeSteps) | |
TreeVanillaSwapEngine (const boost::shared_ptr< ShortRateModel > &, const TimeGrid &timeGrid) | |
void | calculate () const |