Numerical lattice engine for simple swaps. More...

#include <treeswapengine.hpp>

Inheritance diagram for TreeVanillaSwapEngine:

Collaboration diagram for TreeVanillaSwapEngine:

Constructors
Note the term structure is only needed when the short-rate model cannot provide one itself.
Handle< YieldTermStructure >	termStructure_

	TreeVanillaSwapEngine (const ext::shared_ptr< ShortRateModel > &, Size timeSteps, Handle< YieldTermStructure > termStructure=Handle< YieldTermStructure >())

	TreeVanillaSwapEngine (const ext::shared_ptr< ShortRateModel > &, const TimeGrid &timeGrid, Handle< YieldTermStructure > termStructure=Handle< YieldTermStructure >())

void	calculate () const override

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions inherited from LatticeShortRateModelEngine< VanillaSwap::arguments, VanillaSwap::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 ()

Protected Attributes inherited from LatticeShortRateModelEngine< VanillaSwap::arguments, VanillaSwap::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 simple swaps.

Tests:: calculations are checked against known good results

Definition at line 36 of file treeswapengine.hpp.

Constructor & Destructor Documentation

◆ TreeVanillaSwapEngine() [1/2]

TreeVanillaSwapEngine	(	const ext::shared_ptr< ShortRateModel > &	model,
		Size	timeSteps,
		Handle< YieldTermStructure >	termStructure = `Handle<YieldTermStructure>()`
	)

Definition at line 27 of file treeswapengine.cpp.

Here is the call graph for this function:

◆ TreeVanillaSwapEngine() [2/2]

TreeVanillaSwapEngine	(	const ext::shared_ptr< ShortRateModel > &	model,
		const TimeGrid &	timeGrid,
		Handle< YieldTermStructure >	termStructure = `Handle<YieldTermStructure>()`
	)