TreeVanillaSwapEngine Class Reference

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

Inheritance diagram for TreeVanillaSwapEngine:

Inheritance graph
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List of all members.

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