QuantLib_TreeSwaptionEngine (3) Linux Manual Page
QuantLib::TreeSwaptionEngine – Numerical lattice engine for swaptions.
Synopsis
#include <ql/pricingengines/swaption/treeswaptionengine.hpp>Inherits LatticeShortRateModelEngine< Swaption::arguments, Swaption::results >.
Public Member Functions
void calculate () const Constructors
Note:
- the term structure is only needed when the short-rate model cannot provide one itself.
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 >())
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.