LatticeShortRateModelEngine Class Template Reference#include <ql/PricingEngines/latticeshortratemodelengine.hpp>
Inheritance diagram for LatticeShortRateModelEngine:
[legend]List of all members.
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
|
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_ |
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 GenericModelEngine< ShortRateModel, Arguments, Results >. |
|