QuantLib_TreeVanillaSwapEngine man page

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 >())

Additional Inherited Members

Detailed Description

Numerical lattice engine for simple swaps.

Tests

calculations are checked against known good results

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

TreeVanillaSwapEngine(3) is an alias of QuantLib_TreeVanillaSwapEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib