TreeSwaptionEngine Class Reference
Numerical lattice engine for swaptions. More...
#include <ql/pricingengines/swaption/treeswaptionengine.hpp>
Inheritance diagram for TreeSwaptionEngine:

Public Member Functions | |
void | calculate () const |
Constructors | |
| |
TreeSwaptionEngine (const boost::shared_ptr< ShortRateModel > &, Size timeSteps, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) | |
TreeSwaptionEngine (const boost::shared_ptr< ShortRateModel > &, const TimeGrid &timeGrid, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) | |
TreeSwaptionEngine (const Handle< ShortRateModel > &, Size timeSteps, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) |
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: