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<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
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<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><a class="el" href="class_quant_lib_1_1_tree_swaption_engine.html">TreeSwaptionEngine</a> </li>
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<a href="#pub-methods">Public Member Functions</a> </div>
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<div class="title">TreeSwaptionEngine Class Reference<div class="ingroups"><a class="el" href="group__swaptionengines.html">Swaption engines</a></div></div> </div>
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<!-- doxytag: class="QuantLib::TreeSwaptionEngine" --><!-- doxytag: inherits="LatticeShortRateModelEngine< Swaption::arguments, Swaption::results >" -->
<p>Numerical lattice engine for swaptions.
<a href="class_quant_lib_1_1_tree_swaption_engine.html#details">More...</a></p>
<p><code>#include <ql/pricingengines/swaption/treeswaptionengine.hpp></code></p>
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Inheritance diagram for TreeSwaptionEngine:</div>
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<div class="center"><img src="class_quant_lib_1_1_tree_swaption_engine__inherit__graph.png" border="0" usemap="#_tree_swaption_engine_inherit__map" alt="Inheritance graph"/></div>
<map name="_tree_swaption_engine_inherit__map" id="_tree_swaption_engine_inherit__map">
<area shape="rect" id="node2" href="class_quant_lib_1_1_lattice_short_rate_model_engine.html" title="LatticeShortRateModelEngine\< Swaption::arguments, Swaption::results \>" alt="" coords="5,6,451,37"/></map>
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<p><a href="class_quant_lib_1_1_tree_swaption_engine-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a10873979f635888606e03f9cb2d8a096"></a><!-- doxytag: member="QuantLib::TreeSwaptionEngine::calculate" ref="a10873979f635888606e03f9cb2d8a096" args="() const " -->
void </td><td class="memItemRight" valign="bottom"><b>calculate</b> () const </td></tr>
<tr><td colspan="2"><div class="groupHeader">Constructors</div></td></tr>
<tr><td colspan="2"><div class="groupText"><dl class="note"><dt><b>Note:</b></dt><dd>the term structure is only needed when the short-rate model cannot provide one itself. </dd></dl>
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<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a3e8785499f42b170e4a8574ad662159f"></a><!-- doxytag: member="QuantLib::TreeSwaptionEngine::TreeSwaptionEngine" ref="a3e8785499f42b170e4a8574ad662159f" args="(const boost::shared_ptr< ShortRateModel > &, Size timeSteps, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >())" -->
 </td><td class="memItemRight" valign="bottom"><b>TreeSwaptionEngine</b> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_short_rate_model.html">ShortRateModel</a> > &, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> timeSteps, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &termStructure=<a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> >())</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a810ec2c7d0ec4a3aa6990e5707de56bb"></a><!-- doxytag: member="QuantLib::TreeSwaptionEngine::TreeSwaptionEngine" ref="a810ec2c7d0ec4a3aa6990e5707de56bb" args="(const boost::shared_ptr< ShortRateModel > &, const TimeGrid &timeGrid, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >())" -->
 </td><td class="memItemRight" valign="bottom"><b>TreeSwaptionEngine</b> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_short_rate_model.html">ShortRateModel</a> > &, const <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> &timeGrid, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &termStructure=<a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> >())</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac927d1c33498ee954a2bbe7b397533fc"></a><!-- doxytag: member="QuantLib::TreeSwaptionEngine::TreeSwaptionEngine" ref="ac927d1c33498ee954a2bbe7b397533fc" args="(const Handle< ShortRateModel > &, Size timeSteps, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >())" -->
 </td><td class="memItemRight" valign="bottom"><b>TreeSwaptionEngine</b> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_short_rate_model.html">ShortRateModel</a> > &, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> timeSteps, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &termStructure=<a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> >())</td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Numerical lattice engine for swaptions. </p>
<dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000102">Warning:</a></b></dt><dd>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 <img class="formulaInl" alt="$ t \geq 0 $" src="form_320.png"/>.</dd></dl>
<dl class="test"><dt><b><a class="el" href="test.html#_test000110">Tests:</a></b></dt><dd>calculations are checked against cached results </dd></dl>
<dl><dt><b>Examples: </b></dt><dd><a class="el" href="_bermudan_swaption_8cpp-example.html#_a36">BermudanSwaption.cpp</a>.</dd>
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