QuantLib_TreeVanillaSwapEngine (3) - Linux Man Pages

QuantLib_TreeVanillaSwapEngine: Numerical lattice engine for simple swaps.

NAME

QuantLib::TreeVanillaSwapEngine - Numerical lattice engine for simple swaps.

SYNOPSIS


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

Inherits LatticeShortRateModelEngine< VanillaSwap::arguments, VanillaSwap::results >.

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

Author

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