QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
Public Member Functions | List of all members
TreeVanillaSwapEngine Class Reference

Numerical lattice engine for simple swaps. More...

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

+ Inheritance diagram for TreeVanillaSwapEngine:

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 >())
 
- Public Member Functions inherited from LatticeShortRateModelEngine< VanillaSwap::arguments, VanillaSwap::results >
 LatticeShortRateModelEngine (const boost::shared_ptr< ShortRateModel > &model, Size timeSteps)
 
 LatticeShortRateModelEngine (const Handle< ShortRateModel > &model, Size timeSteps)
 
 LatticeShortRateModelEngine (const boost::shared_ptr< ShortRateModel > &model, const TimeGrid &timeGrid)
 
void update ()
 
- Public Member Functions inherited from GenericModelEngine< ShortRateModel, VanillaSwap::arguments, VanillaSwap::results >
 GenericModelEngine (const Handle< ShortRateModel > &model=Handle< ShortRateModel >())
 
 GenericModelEngine (const boost::shared_ptr< ShortRateModel > &model)
 
- Public Member Functions inherited from GenericEngine< VanillaSwap::arguments, VanillaSwap::results >
PricingEngine::arguments * getArguments () const
 
const PricingEngine::results * getResults () const
 
void reset ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const boost::shared_ptr< Observable > &)
 
void registerWithObservables (const boost::shared_ptr< Observer > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void deepUpdate ()
 

Additional Inherited Members

- Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Protected Attributes inherited from LatticeShortRateModelEngine< VanillaSwap::arguments, VanillaSwap::results >
TimeGrid timeGrid_
 
Size timeSteps_
 
boost::shared_ptr< Latticelattice_
 
- Protected Attributes inherited from GenericModelEngine< ShortRateModel, VanillaSwap::arguments, VanillaSwap::results >
Handle< ShortRateModelmodel_
 
- Protected Attributes inherited from GenericEngine< VanillaSwap::arguments, VanillaSwap::results >
VanillaSwap::arguments arguments_
 
VanillaSwap::results results_
 

Detailed Description

Numerical lattice engine for simple swaps.

Tests:
calculations are checked against known good results