TreeSwaptionEngine Class Reference

Numerical lattice engine for swaptions. More...

#include <treeswaptionengine.hpp>

Inheritance diagram for TreeSwaptionEngine:

Collaboration diagram for TreeSwaptionEngine:

Constructors
Note the term structure is only needed when the short-rate model cannot provide one itself.
Handle< YieldTermStructure >	termStructure_
	TreeSwaptionEngine (const ext::shared_ptr< ShortRateModel > &, Size timeSteps, Handle< YieldTermStructure > termStructure=Handle< YieldTermStructure >())
	TreeSwaptionEngine (const ext::shared_ptr< ShortRateModel > &, const TimeGrid &timeGrid, Handle< YieldTermStructure > termStructure=Handle< YieldTermStructure >())
	TreeSwaptionEngine (const Handle< ShortRateModel > &, Size timeSteps, 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< Swaption::arguments, Swaption::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< Swaption::arguments, Swaption::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 swaptions.

Warning:

This engine is not guaranteed to work if the underlying swap has a start date in the past, i.e., before today's date. When using this engine, prune the initial part of the swap so that it starts at \( t \geq 0 \).

Tests:

calculations are checked against cached results

Definition at line 44 of file treeswaptionengine.hpp.

Constructor & Destructor Documentation

TreeSwaptionEngine() [1/3]

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

Definition at line 27 of file treeswaptionengine.cpp.

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TreeSwaptionEngine() [2/3]

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

Definition at line 35 of file treeswaptionengine.cpp.

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TreeSwaptionEngine() [3/3]

TreeSwaptionEngine	(	const Handle< ShortRateModel > &	model,
		Size	timeSteps,
		Handle< YieldTermStructure >	termStructure = Handle<YieldTermStructure>()
	)

Definition at line 43 of file treeswaptionengine.cpp.

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Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 51 of file treeswaptionengine.cpp.

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Member Data Documentation

termStructure_

Handle<YieldTermStructure> termStructure_

private

Definition at line 66 of file treeswaptionengine.hpp.