TreeSwaptionEngine Class Reference

Numerical lattice engine for swaptions. More...

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

Inheritance diagram for TreeSwaptionEngine:

List of all members.

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 >())

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.