TreeVanillaSwapEngine Class Reference
#include <ql/pricingengines/swap/treeswapengine.hpp>
Inheritance diagram for TreeVanillaSwapEngine:

Detailed Description
Numerical lattice engine for simple swaps.
- Tests:
- calculations are checked against known good results
Public Member Functions | |
void | calculate () const |
Constructors | |
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TreeVanillaSwapEngine (const boost::shared_ptr< ShortRateModel > &, Size timeSteps, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) | |
TreeVanillaSwapEngine (const boost::shared_ptr< ShortRateModel > &, const TimeGrid &timeGrid, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) |