TreeSwaptionEngine Class Reference

Numerical lattice engine for swaptions. More...

#include <ql/pricingengines/swaption/treeswaptionengine.hpp>

Inheritance diagram for TreeSwaptionEngine:

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

Additional Inherited Members
Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > >	set_type
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 ()
Public Member Functions inherited from GenericModelEngine< ShortRateModel, Swaption::arguments, Swaption::results >
	GenericModelEngine (const Handle< ShortRateModel > &model=Handle< ShortRateModel >())
	GenericModelEngine (const ext::shared_ptr< ShortRateModel > &model)
Public Member Functions inherited from GenericEngine< Swaption::arguments, Swaption::results >
PricingEngine::arguments *	getArguments () const
const PricingEngine::results *	getResults () const
void	reset ()
Public Member Functions inherited from PricingEngine
virtual arguments *	getArguments () const =0
virtual const results *	getResults () const =0
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const 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	deepUpdate ()
Protected Attributes inherited from LatticeShortRateModelEngine< Swaption::arguments, Swaption::results >
TimeGrid	timeGrid_
Size	timeSteps_
ext::shared_ptr< Lattice >	lattice_
Protected Attributes inherited from GenericModelEngine< ShortRateModel, Swaption::arguments, Swaption::results >
Handle< ShortRateModel >	model_
Protected Attributes inherited from GenericEngine< Swaption::arguments, Swaption::results >
Swaption::arguments	arguments_
Swaption::results	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

Examples

BermudanSwaption.cpp.