QuantLib 0.3.8
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Reference manual
TreeSwaptionEngine Class Reference
[Swaption engines]
#include <ql/PricingEngines/Swaption/treeswaptionengine.hpp>
Inheritance diagram for TreeSwaptionEngine:
Detailed Description
Numerical lattice engine for swaptions.
Public Member Functions | |
| TreeSwaptionEngine (const boost::shared_ptr< ShortRateModel > &model, Size timeSteps) | |
| TreeSwaptionEngine (const boost::shared_ptr< ShortRateModel > &model, const TimeGrid &timeGrid) | |
| void | calculate () const |
