TreeVanillaSwapEngine (3) Linux Manual Page
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