TreeVanillaSwapEngine Class Reference

Numerical lattice engine for simple swaps. More...

#include <ql/pricingengines/swap/treeswapengine.hpp>

Inheritance diagram for TreeVanillaSwapEngine:

List of all members.

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