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<div id="projectbrief">A free/open-source library for quantitative finance</div>
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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_tree_vanilla_swap_engine.html">TreeVanillaSwapEngine</a></li> </ul>
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<div class="title">TreeVanillaSwapEngine Class Reference</div> </div>
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<p>Numerical lattice engine for simple swaps.
<a href="class_quant_lib_1_1_tree_vanilla_swap_engine.html#details">More...</a></p>
<p><code>#include <ql/pricingengines/swap/treeswapengine.hpp></code></p>
<div id="dynsection-0" onclick="return toggleVisibility(this)" class="dynheader closed" style="cursor:pointer;">
<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for TreeVanillaSwapEngine:</div>
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<area shape="rect" title="Numerical lattice engine for simple swaps." alt="" coords="503,27,661,54"/>
<area shape="rect" href="class_quant_lib_1_1_lattice_short_rate_model_engine.html" title=" " alt="" coords="260,13,455,69"/>
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<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="member-group"></a>
Constructors</h2></td></tr>
<tr><td class="ititle" colspan="2"><p><a class="anchor" id="amgrp559a25fdb98a7d1fd1c3771ac568d5e9"></a></p><dl class="section note"><dt>Note</dt><dd>the term structure is only needed when the short-rate model cannot provide one itself. </dd></dl>
</td></tr>
<tr class="memitem:afe4214e977c3cbba35b15d86645acf65"><td class="memItemLeft" align="right" valign="top"><a id="afe4214e977c3cbba35b15d86645acf65"></a>
 </td><td class="memItemRight" valign="bottom"><b>TreeVanillaSwapEngine</b> (const ext::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 class="separator:afe4214e977c3cbba35b15d86645acf65"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:af67419c85a304fcbf47a20e7d8bc6314"><td class="memItemLeft" align="right" valign="top"><a id="af67419c85a304fcbf47a20e7d8bc6314"></a>
 </td><td class="memItemRight" valign="bottom"><b>TreeVanillaSwapEngine</b> (const ext::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>
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<tr class="memitem:a082ff96da379d5e17436372ccb3c0972"><td class="memItemLeft" align="right" valign="top"><a id="a082ff96da379d5e17436372ccb3c0972"></a>
void </td><td class="memItemRight" valign="bottom"><b>calculate</b> () const</td></tr>
<tr class="separator:a082ff96da379d5e17436372ccb3c0972"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="inherited"></a>
Additional Inherited Members</h2></td></tr>
<tr class="inherit_header pub_types_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_types_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Types inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
<tr class="memitem:a78de5f2b6bce96d718e3c18b9f52d67c inherit pub_types_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a78de5f2b6bce96d718e3c18b9f52d67c"></a>
typedef boost::unordered_set< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > > </td><td class="memItemRight" valign="bottom"><b>set_type</b></td></tr>
<tr class="separator:a78de5f2b6bce96d718e3c18b9f52d67c inherit pub_types_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ae98429250f6997df7b87f4b37454609e inherit pub_types_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="ae98429250f6997df7b87f4b37454609e"></a>
typedef set_type::iterator </td><td class="memItemRight" valign="bottom"><b>iterator</b></td></tr>
<tr class="separator:ae98429250f6997df7b87f4b37454609e inherit pub_types_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_lattice_short_rate_model_engine"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_lattice_short_rate_model_engine')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_lattice_short_rate_model_engine.html">LatticeShortRateModelEngine< VanillaSwap::arguments, VanillaSwap::results ></a></td></tr>
<tr class="memitem:a0231bcfcbda18977d5ce11110596f608 inherit pub_methods_class_quant_lib_1_1_lattice_short_rate_model_engine"><td class="memItemLeft" align="right" valign="top"><a id="a0231bcfcbda18977d5ce11110596f608"></a>
 </td><td class="memItemRight" valign="bottom"><b>LatticeShortRateModelEngine</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_short_rate_model.html">ShortRateModel</a> > &model, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> timeSteps)</td></tr>
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<tr class="memitem:aaa4869e006043fd23877d570331730ee inherit pub_methods_class_quant_lib_1_1_lattice_short_rate_model_engine"><td class="memItemLeft" align="right" valign="top"><a id="aaa4869e006043fd23877d570331730ee"></a>
 </td><td class="memItemRight" valign="bottom"><b>LatticeShortRateModelEngine</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> > &model, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> timeSteps)</td></tr>
<tr class="separator:aaa4869e006043fd23877d570331730ee inherit pub_methods_class_quant_lib_1_1_lattice_short_rate_model_engine"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a6b57b94585ffcc85e1bbb901b9e6f31b inherit pub_methods_class_quant_lib_1_1_lattice_short_rate_model_engine"><td class="memItemLeft" align="right" valign="top"><a id="a6b57b94585ffcc85e1bbb901b9e6f31b"></a>
 </td><td class="memItemRight" valign="bottom"><b>LatticeShortRateModelEngine</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_short_rate_model.html">ShortRateModel</a> > &model, const <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> &timeGrid)</td></tr>
<tr class="separator:a6b57b94585ffcc85e1bbb901b9e6f31b inherit pub_methods_class_quant_lib_1_1_lattice_short_rate_model_engine"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ac5c54df7ed3b930268c8d7752c101725 inherit pub_methods_class_quant_lib_1_1_lattice_short_rate_model_engine"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><b>update</b> ()</td></tr>
<tr class="separator:ac5c54df7ed3b930268c8d7752c101725 inherit pub_methods_class_quant_lib_1_1_lattice_short_rate_model_engine"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_generic_model_engine"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_generic_model_engine')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_generic_model_engine.html">GenericModelEngine< ShortRateModel, VanillaSwap::arguments, VanillaSwap::results ></a></td></tr>
<tr class="memitem:a3edb57d5adf68af0bd3ab7b6a1633edf inherit pub_methods_class_quant_lib_1_1_generic_model_engine"><td class="memItemLeft" align="right" valign="top"><a id="a3edb57d5adf68af0bd3ab7b6a1633edf"></a>
 </td><td class="memItemRight" valign="bottom"><b>GenericModelEngine</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> > &model=<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> >())</td></tr>
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<tr class="memitem:a5ccb95d65abe85dd75848c702a540e88 inherit pub_methods_class_quant_lib_1_1_generic_model_engine"><td class="memItemLeft" align="right" valign="top"><a id="a5ccb95d65abe85dd75848c702a540e88"></a>
 </td><td class="memItemRight" valign="bottom"><b>GenericModelEngine</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_short_rate_model.html">ShortRateModel</a> > &model)</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_generic_engine"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_generic_engine')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_generic_engine.html">GenericEngine< VanillaSwap::arguments, VanillaSwap::results ></a></td></tr>
<tr class="memitem:a71b88a849e976521267094f05b679b4a inherit pub_methods_class_quant_lib_1_1_generic_engine"><td class="memItemLeft" align="right" valign="top"><a id="a71b88a849e976521267094f05b679b4a"></a>
PricingEngine::arguments * </td><td class="memItemRight" valign="bottom"><b>getArguments</b> () const</td></tr>
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<tr class="memitem:a444e176623e5142800ac5abd35556c10 inherit pub_methods_class_quant_lib_1_1_generic_engine"><td class="memItemLeft" align="right" valign="top"><a id="a444e176623e5142800ac5abd35556c10"></a>
const PricingEngine::results * </td><td class="memItemRight" valign="bottom"><b>getResults</b> () const</td></tr>
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void </td><td class="memItemRight" valign="bottom"><b>reset</b> ()</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_pricing_engine"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_pricing_engine')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_pricing_engine.html">PricingEngine</a></td></tr>
<tr class="memitem:acadfc179f7be93951a88d8d9785402d3 inherit pub_methods_class_quant_lib_1_1_pricing_engine"><td class="memItemLeft" align="right" valign="top"><a id="acadfc179f7be93951a88d8d9785402d3"></a>
virtual arguments * </td><td class="memItemRight" valign="bottom"><b>getArguments</b> () const =0</td></tr>
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virtual const results * </td><td class="memItemRight" valign="bottom"><b>getResults</b> () const =0</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_observable"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observable')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a></td></tr>
<tr class="memitem:a840dd96e33a304cbf681d357de7f48d0 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a id="a840dd96e33a304cbf681d357de7f48d0"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observable</b> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
<tr class="separator:a840dd96e33a304cbf681d357de7f48d0 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a522aacdd0f2408fe5e46527a6db999b4 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a522aacdd0f2408fe5e46527a6db999b4">operator=</a> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
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<tr class="memitem:a397546715bfc5aedd1d16dd202a19d4c inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a397546715bfc5aedd1d16dd202a19d4c">notifyObservers</a> ()</td></tr>
<tr class="separator:a397546715bfc5aedd1d16dd202a19d4c inherit pub_methods_class_quant_lib_1_1_observable"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
<tr class="memitem:af6a9d3ca0b7f388f3b7ccb1eccf11f63 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="af6a9d3ca0b7f388f3b7ccb1eccf11f63"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observer</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
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<a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> & </td><td class="memItemRight" valign="bottom"><b>operator=</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
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std::pair< iterator, bool > </td><td class="memItemRight" valign="bottom"><b>registerWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
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<tr class="memitem:a51d57eb97a3a57312a47bda29235f182 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a51d57eb97a3a57312a47bda29235f182">registerWithObservables</a> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> > &)</td></tr>
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<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>unregisterWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
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void </td><td class="memItemRight" valign="bottom"><b>unregisterWithAll</b> ()</td></tr>
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<tr class="memitem:a3d53f9669c128dadc74a5d044a7c8e68 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a3d53f9669c128dadc74a5d044a7c8e68">deepUpdate</a> ()</td></tr>
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<tr class="inherit_header pro_attribs_class_quant_lib_1_1_lattice_short_rate_model_engine"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_lattice_short_rate_model_engine')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_lattice_short_rate_model_engine.html">LatticeShortRateModelEngine< VanillaSwap::arguments, VanillaSwap::results ></a></td></tr>
<tr class="memitem:adda5ae6c670bdbb1857509a4aa20ec25 inherit pro_attribs_class_quant_lib_1_1_lattice_short_rate_model_engine"><td class="memItemLeft" align="right" valign="top"><a id="adda5ae6c670bdbb1857509a4aa20ec25"></a>
<a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> </td><td class="memItemRight" valign="bottom"><b>timeGrid_</b></td></tr>
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<tr class="memitem:a02b035f6fcde4fb3cc9964c0518964ae inherit pro_attribs_class_quant_lib_1_1_lattice_short_rate_model_engine"><td class="memItemLeft" align="right" valign="top"><a id="a02b035f6fcde4fb3cc9964c0518964ae"></a>
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>timeSteps_</b></td></tr>
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ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_lattice.html">Lattice</a> > </td><td class="memItemRight" valign="bottom"><b>lattice_</b></td></tr>
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<tr class="inherit_header pro_attribs_class_quant_lib_1_1_generic_model_engine"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_generic_model_engine')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_generic_model_engine.html">GenericModelEngine< ShortRateModel, VanillaSwap::arguments, VanillaSwap::results ></a></td></tr>
<tr class="memitem:a6864e2664edc95964c8d3c6325fbd30e inherit pro_attribs_class_quant_lib_1_1_generic_model_engine"><td class="memItemLeft" align="right" valign="top"><a id="a6864e2664edc95964c8d3c6325fbd30e"></a>
<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> > </td><td class="memItemRight" valign="bottom"><b>model_</b></td></tr>
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<tr class="inherit_header pro_attribs_class_quant_lib_1_1_generic_engine"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_generic_engine')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_generic_engine.html">GenericEngine< VanillaSwap::arguments, VanillaSwap::results ></a></td></tr>
<tr class="memitem:afee5e1b26214353757b120d9f5ad2169 inherit pro_attribs_class_quant_lib_1_1_generic_engine"><td class="memItemLeft" align="right" valign="top"><a id="afee5e1b26214353757b120d9f5ad2169"></a>
<a class="el" href="class_quant_lib_1_1_vanilla_swap_1_1arguments.html">VanillaSwap::arguments</a> </td><td class="memItemRight" valign="bottom"><b>arguments_</b></td></tr>
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<a class="el" href="class_quant_lib_1_1_vanilla_swap_1_1results.html">VanillaSwap::results</a> </td><td class="memItemRight" valign="bottom"><b>results_</b></td></tr>
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</table>
<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>Numerical lattice engine for simple swaps. </p>
<dl class="test"><dt><b><a class="el" href="test.html#_test000119">Tests:</a></b></dt><dd>calculations are checked against known good results </dd></dl>
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