TreeSwaptionEngine Class Reference
[Swaption engines]

#include <ql/PricingEngines/Swaption/treeswaptionengine.hpp>

Inheritance diagram for TreeSwaptionEngine:

Inheritance graph
[legend]
List of all members.

Detailed Description

Numerical lattice engine for swaptions.


Public Member Functions

 TreeSwaptionEngine (const boost::shared_ptr< ShortRateModel > &model, Size timeSteps)
 TreeSwaptionEngine (const boost::shared_ptr< ShortRateModel > &model, const TimeGrid &timeGrid)
void calculate () const


QuantLib.org
QuantLib
Hosted by
SourceForge.net Logo
Documentation generated by
doxygen