TreeSwaptionEngine Class Reference
[Swaption engines]

#include <ql/pricingengines/swaption/treeswaptionengine.hpp>

Inheritance diagram for TreeSwaptionEngine:

Inheritance graph
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List of all members.

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 $ t \geq 0 $.
Tests:
calculations are checked against cached results
Examples:

BermudanSwaption.cpp.


Public Member Functions

 TreeSwaptionEngine (const boost::shared_ptr< ShortRateModel > &, Size timeSteps)
 TreeSwaptionEngine (const boost::shared_ptr< ShortRateModel > &, const TimeGrid &timeGrid)
void calculate () const