- QuantLib
- TreeSwaptionEngine
Numerical lattice engine for swaptions. More...
#include <ql/pricingengines/swaption/treeswaptionengine.hpp>
Public Member Functions | |
void | calculate () const |
Constructors | |
| |
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 >()) |
Numerical lattice engine for swaptions.