QuantLib_LatticeShortRateModelEngine (3) Linux Manual Page
QuantLib::LatticeShortRateModelEngine – Engine for a short-rate model specialized on a lattice.
Synopsis
#include <ql/pricingengines/latticeshortratemodelengine.hpp>Inherits GenericModelEngine< ShortRateModel, Arguments, Results >.
Public Member Functions
LatticeShortRateModelEngine (const boost::shared_ptr< ShortRateModel > &model, Size timeSteps)LatticeShortRateModelEngine (const boost::shared_ptr< ShortRateModel > &model, const TimeGrid &timeGrid)
void update ()
Protected Attributes
TimeGrid timeGrid_Size timeSteps_
boost::shared_ptr< Lattice > lattice_
Detailed Description
template<class Arguments, class Results> class QuantLib::LatticeShortRateModelEngine< Arguments, Results >
Engine for a short-rate model specialized on a lattice. Derived engines only need to implement the calculate() method
Member Function Documentation
void update () [virtual]
This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.Reimplemented from GenericEngine< Arguments, Results >.