QuantLib_LatticeShortRateModelEngine man page

LatticeShortRateModelEngine< Arguments, Results > — 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 Handle< 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_

Additional Inherited Members

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.

Implements Observer.

Author

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Referenced By

The man pages lattice_(3), LatticeShortRateModelEngine(3) and timeGrid_(3) are aliases of QuantLib_LatticeShortRateModelEngine(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib