QuantLib
: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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ql
pricingengines
swap
treeswapengine.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
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Copyright (C) 2005, 2007 StatPro Italia srl
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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#ifndef quantlib_tree_swap_engine_hpp
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#define quantlib_tree_swap_engine_hpp
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#include <ql/instruments/vanillaswap.hpp>
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#include <ql/pricingengines/latticeshortratemodelengine.hpp>
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namespace
QuantLib
{
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class
TreeVanillaSwapEngine
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:
public
LatticeShortRateModelEngine
<VanillaSwap::arguments,
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VanillaSwap::results> {
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public
:
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TreeVanillaSwapEngine
(
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const
ext::shared_ptr<ShortRateModel>&,
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Size
timeSteps,
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Handle<YieldTermStructure>
termStructure =
Handle<YieldTermStructure>
());
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TreeVanillaSwapEngine
(
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const
ext::shared_ptr<ShortRateModel>&,
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const
TimeGrid
& timeGrid,
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Handle<YieldTermStructure>
termStructure =
Handle<YieldTermStructure>
());
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void
calculate
()
const override
;
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private
:
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Handle<YieldTermStructure>
termStructure_
;
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};
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}
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#endif
QuantLib::Handle
Shared handle to an observable.
Definition:
handle.hpp:41
QuantLib::LatticeShortRateModelEngine
Engine for a short-rate model specialized on a lattice.
Definition:
latticeshortratemodelengine.hpp:39
QuantLib::TimeGrid
time grid class
Definition:
timegrid.hpp:43
QuantLib::TreeVanillaSwapEngine
Numerical lattice engine for simple swaps.
Definition:
treeswapengine.hpp:38
QuantLib::TreeVanillaSwapEngine::calculate
void calculate() const override
Definition:
treeswapengine.cpp:43
QuantLib::TreeVanillaSwapEngine::termStructure_
Handle< YieldTermStructure > termStructure_
Definition:
treeswapengine.hpp:57
QuantLib::Size
std::size_t Size
size of a container
Definition:
types.hpp:58
QuantLib
Definition:
any.hpp:35
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