TreeSwaptionEngine Class Reference

Numerical lattice engine for swaptions. More...

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

Inheritance diagram for TreeSwaptionEngine:

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 >())
 
- Public Member Functions inherited from LatticeShortRateModelEngine< Swaption::arguments, Swaption::results >
 LatticeShortRateModelEngine (const boost::shared_ptr< ShortRateModel > &model, Size timeSteps)
 
 LatticeShortRateModelEngine (const Handle< ShortRateModel > &model, Size timeSteps)
 
 LatticeShortRateModelEngine (const boost::shared_ptr< ShortRateModel > &model, const TimeGrid &timeGrid)
 
void update ()
 
- Public Member Functions inherited from GenericModelEngine< ShortRateModel, Swaption::arguments, Swaption::results >
 GenericModelEngine (const boost::shared_ptr< ShortRateModel > &model)
 
- Public Member Functions inherited from GenericEngine< Swaption::arguments, Swaption::results >
PricingEngine::arguments * getArguments () const
 
const PricingEngine::results * getResults () const
 
void reset ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Additional Inherited Members

- Public Attributes inherited from GenericModelEngine< ShortRateModel, Swaption::arguments, Swaption::results >
 __pad0__
 
- Protected Attributes inherited from LatticeShortRateModelEngine< Swaption::arguments, Swaption::results >
TimeGrid timeGrid_
 
Size timeSteps_
 
boost::shared_ptr< Latticelattice_
 
- Protected Attributes inherited from GenericModelEngine< ShortRateModel, Swaption::arguments, Swaption::results >
Handle< ShortRateModelmodel_
 
- Protected Attributes inherited from GenericEngine< Swaption::arguments, Swaption::results >
Swaption::arguments arguments_
 
Swaption::results results_
 

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.