QuantLib_TreeVanillaSwapEngine man page

TreeVanillaSwapEngine — Numerical lattice engine for simple swaps.


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

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

Public Member Functions

void calculate () const



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.


calculations are checked against known good results


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

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

QuantLib Version 1.8.1 Fri Sep 23 2016