TreeSwaptionEngine Class Reference
[Swaption engines]
#include <ql/PricingEngines/Swaption/treeswaptionengine.hpp>
Inheritance diagram for TreeSwaptionEngine:
[legend]List of all 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. When using this engine, prune the initial part of the swap so that it starts at
.
- Tests:
- calculations are checked against cached results
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Public Member Functions |
| TreeSwaptionEngine (const boost::shared_ptr< ShortRateModel > &model, Size timeSteps) |
| TreeSwaptionEngine (const boost::shared_ptr< ShortRateModel > &model, const TimeGrid &timeGrid) |
void | calculate () const |
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