QuantLib_TreeSwaptionEngine man page

TreeSwaptionEngine — Numerical lattice engine for swaptions.

Synopsis

#include <ql/pricingengines/swaption/treeswaptionengine.hpp>

Inherits LatticeShortRateModelEngine< Swaption::arguments, Swaption::results >.

Public Member Functions

void calculate () const

Constructors

Note:

the term structure is only needed when the short-rate model cannot provide one itself.

TreeSwaptionEngine (const boost::shared_ptr< ShortRateModel > &, Size timeSteps, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >())

TreeSwaptionEngine (const boost::shared_ptr< ShortRateModel > &, const TimeGrid &timeGrid, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >())

TreeSwaptionEngine (const Handle< ShortRateModel > &, Size timeSteps, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >())

Additional Inherited Members

Detailed Description

Numerical lattice engine for swaptions.

Warning

This engine is not guaranteed to work if the underlying swap has a start date in the past, i.e., before today's date. When using this engine, prune the initial part of the swap so that it starts at $ t geq 0 $.

Tests

calculations are checked against cached results

Examples: BermudanSwaption.cpp.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

TreeSwaptionEngine(3) is an alias of QuantLib_TreeSwaptionEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib