Engine for a short-rate model specialized on a lattice. More...

#include <ql/pricingengines/latticeshortratemodelengine.hpp>

Inheritance diagram for LatticeShortRateModelEngine< Arguments, Results >:

Collaboration diagram for LatticeShortRateModelEngine< Arguments, Results >:

Public Member Functions
	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< ShortRateModel, Arguments, Results >
	GenericModelEngine (Handle< ShortRateModel > model=Handle< ShortRateModel >())

	GenericModelEngine (const ext::shared_ptr< ShortRateModel > &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
TimeGrid	timeGrid_

Size	timeSteps_

ext::shared_ptr< Lattice >	lattice_

Protected Attributes inherited from GenericModelEngine< ShortRateModel, Arguments, Results >
Handle< ShortRateModel >	model_

Protected Attributes inherited from GenericEngine< ArgumentsType, ResultsType >
ArgumentsType	arguments_

ResultsType	results_

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

Detailed Description

template<class Arguments, class Results>
class QuantLib::LatticeShortRateModelEngine< Arguments, Results >

Engine for a short-rate model specialized on a lattice.

Derived engines only need to implement the calculate() method

Definition at line 38 of file latticeshortratemodelengine.hpp.

Constructor & Destructor Documentation

◆ LatticeShortRateModelEngine() [1/3]

LatticeShortRateModelEngine	(	const ext::shared_ptr< ShortRateModel > &	model,
		Size	timeSteps
	)

Definition at line 59 of file latticeshortratemodelengine.hpp.

◆ LatticeShortRateModelEngine() [2/3]

LatticeShortRateModelEngine	(	const Handle< ShortRateModel > &	model,
		Size	timeSteps
	)

Definition at line 70 of file latticeshortratemodelengine.hpp.

◆ LatticeShortRateModelEngine() [3/3]

LatticeShortRateModelEngine	(	const ext::shared_ptr< ShortRateModel > &	model,
		const TimeGrid &	timeGrid
	)

Definition at line 81 of file latticeshortratemodelengine.hpp.

Member Function Documentation

◆ update()

void update ( )

overridevirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Reimplemented from GenericEngine< ArgumentsType, ResultsType >.

Definition at line 90 of file latticeshortratemodelengine.hpp.

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