TreeSwaptionEngine (3) - Linux Manuals

TreeSwaptionEngine: Numerical lattice engine for swaptions.

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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