Numerical lattice engine for simple swaps. More...
#include <ql/pricingengines/swap/treeswapengine.hpp>
Inheritance diagram for TreeVanillaSwapEngine:Constructors | |
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| TreeVanillaSwapEngine (const ext::shared_ptr< ShortRateModel > &, Size timeSteps, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) | |
| TreeVanillaSwapEngine (const ext::shared_ptr< ShortRateModel > &, const TimeGrid &timeGrid, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) | |
| void | calculate () const |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Public Member Functions inherited from LatticeShortRateModelEngine< VanillaSwap::arguments, VanillaSwap::results > | |
| LatticeShortRateModelEngine (const ext::shared_ptr< ShortRateModel > &model, Size timeSteps) | |
| LatticeShortRateModelEngine (const Handle< ShortRateModel > &model, Size timeSteps) | |
| LatticeShortRateModelEngine (const ext::shared_ptr< ShortRateModel > &model, const TimeGrid &timeGrid) | |
| void | update () |
Public Member Functions inherited from GenericModelEngine< ShortRateModel, VanillaSwap::arguments, VanillaSwap::results > | |
| GenericModelEngine (const Handle< ShortRateModel > &model=Handle< ShortRateModel >()) | |
| GenericModelEngine (const ext::shared_ptr< ShortRateModel > &model) | |
Public Member Functions inherited from GenericEngine< VanillaSwap::arguments, VanillaSwap::results > | |
| PricingEngine::arguments * | getArguments () const |
| const PricingEngine::results * | getResults () const |
| void | reset () |
Public Member Functions inherited from PricingEngine | |
| virtual arguments * | getArguments () const =0 |
| virtual const results * | getResults () const =0 |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Protected Attributes inherited from LatticeShortRateModelEngine< VanillaSwap::arguments, VanillaSwap::results > | |
| TimeGrid | timeGrid_ |
| Size | timeSteps_ |
| ext::shared_ptr< Lattice > | lattice_ |
Protected Attributes inherited from GenericModelEngine< ShortRateModel, VanillaSwap::arguments, VanillaSwap::results > | |
| Handle< ShortRateModel > | model_ |
Protected Attributes inherited from GenericEngine< VanillaSwap::arguments, VanillaSwap::results > | |
| VanillaSwap::arguments | arguments_ |
| VanillaSwap::results | results_ |
Numerical lattice engine for simple swaps.