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

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

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

Fri Sep 23 2016 Version 1.8.1 QuantLib