LatticeShortRateModelEngine (3) - Linux Manuals

LatticeShortRateModelEngine: Engine for a short-rate model specialized on a lattice.

NAME

QuantLib::LatticeShortRateModelEngine - Engine for a short-rate model specialized on a lattice.

SYNOPSIS

#include <ql/pricingengines/latticeshortratemodelengine.hpp>

Inherits GenericModelEngine< ShortRateModel, Arguments, Results >.

Public Member Functions

LatticeShortRateModelEngine (const boost::shared_ptr< ShortRateModel > &model, Size timeSteps)

LatticeShortRateModelEngine (const boost::shared_ptr< ShortRateModel > &model, const TimeGrid &timeGrid)

void update ()

Protected Attributes

TimeGrid timeGrid_

Size timeSteps_

boost::shared_ptr< Lattice > lattice_

Detailed Description

template<class Arguments, class Results> class QuantLib::LatticeShortRateModelEngine< Arguments, Results >

Engine for a short-rate model specialized on a lattice.

Derived engines only need to implement the calculate() method

Member Function Documentation

void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Reimplemented from GenericEngine< Arguments, Results >.

Author

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