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QuantLib_TreeSwaptionEngine
Langue: en
Version: 163875 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::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 >())
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
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