Numerical lattice engine for callable zero coupon bonds. More...
#include <treecallablebondengine.hpp>
Inheritance diagram for TreeCallableZeroCouponBondEngine:
Collaboration diagram for TreeCallableZeroCouponBondEngine:
Public Member Functions | |
| TreeCallableZeroCouponBondEngine (const ext::shared_ptr< ShortRateModel > &model, const Size timeSteps, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) | |
| TreeCallableZeroCouponBondEngine (const ext::shared_ptr< ShortRateModel > &model, const TimeGrid &timeGrid, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) | |
| Public Member Functions inherited from TreeCallableFixedRateBondEngine | |
| TreeCallableFixedRateBondEngine (const ext::shared_ptr< ShortRateModel > &, Size timeSteps, Handle< YieldTermStructure > termStructure=Handle< YieldTermStructure >()) | |
| TreeCallableFixedRateBondEngine (const ext::shared_ptr< ShortRateModel > &, const TimeGrid &timeGrid, Handle< YieldTermStructure > termStructure=Handle< YieldTermStructure >()) | |
| void | calculate () const override |
| Public Member Functions inherited from LatticeShortRateModelEngine< CallableBond::arguments, CallableBond::results > | |
| LatticeShortRateModelEngine (const ext::shared_ptr< ShortRateModel > &model, Size timeSteps) | |
| LatticeShortRateModelEngine (const Handle< ShortRateModel > &model, Size timeSteps) | |
| LatticeShortRateModelEngine (const ext::shared_ptr< ShortRateModel > &model, const TimeGrid &timeGrid) | |
| void | update () override |
| Public Member Functions inherited from GenericModelEngine< ModelType, ArgumentsType, ResultsType > | |
| GenericModelEngine (Handle< ModelType > model=Handle< ModelType >()) | |
| GenericModelEngine (const ext::shared_ptr< ModelType > &model) | |
| Public Member Functions inherited from GenericEngine< ArgumentsType, ResultsType > | |
| PricingEngine::arguments * | getArguments () const override |
| const PricingEngine::results * | getResults () const override |
| void | reset () override |
| void | update () override |
| Public Member Functions inherited from PricingEngine | |
| ~PricingEngine () override=default | |
| virtual arguments * | getArguments () const =0 |
| virtual const results * | getResults () const =0 |
| virtual void | reset ()=0 |
| virtual void | calculate () const =0 |
| Public Member Functions inherited from Observable | |
| Observable () | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| Observable (Observable &&)=delete | |
| Observable & | operator= (Observable &&)=delete |
| virtual | ~Observable ()=default |
| void | notifyObservers () |
| Public Member Functions inherited from Observer | |
| Observer ()=default | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| virtual | ~Observer () |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | update ()=0 |
| virtual void | deepUpdate () |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Protected Attributes inherited from LatticeShortRateModelEngine< CallableBond::arguments, CallableBond::results > | |
| TimeGrid | timeGrid_ |
| Size | timeSteps_ |
| ext::shared_ptr< Lattice > | lattice_ |
| Protected Attributes inherited from GenericModelEngine< ModelType, ArgumentsType, ResultsType > | |
| Handle< ModelType > | model_ |
| Protected Attributes inherited from GenericEngine< ArgumentsType, ResultsType > | |
| ArgumentsType | arguments_ |
| ResultsType | results_ |
Detailed Description
Numerical lattice engine for callable zero coupon bonds.
Definition at line 61 of file treecallablebondengine.hpp.
Constructor & Destructor Documentation
◆ TreeCallableZeroCouponBondEngine() [1/2]
| TreeCallableZeroCouponBondEngine | ( | const ext::shared_ptr< ShortRateModel > & | model, |
| const Size | timeSteps, | ||
| const Handle< YieldTermStructure > & | termStructure = Handle<YieldTermStructure>() |
||
| ) |
Definition at line 65 of file treecallablebondengine.hpp.
◆ TreeCallableZeroCouponBondEngine() [2/2]
| TreeCallableZeroCouponBondEngine | ( | const ext::shared_ptr< ShortRateModel > & | model, |
| const TimeGrid & | timeGrid, | ||
| const Handle< YieldTermStructure > & | termStructure = Handle<YieldTermStructure>() |
||
| ) |
Definition at line 72 of file treecallablebondengine.hpp.