- QuantLib
- TreeVanillaSwapEngine
Numerical lattice engine for simple swaps. More...
#include <ql/pricingengines/swap/treeswapengine.hpp>

Public Member Functions | |
| void | calculate () const |
Constructors | |
| |
| TreeVanillaSwapEngine (const boost::shared_ptr< ShortRateModel > &, Size timeSteps, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) | |
| TreeVanillaSwapEngine (const boost::shared_ptr< ShortRateModel > &, const TimeGrid &timeGrid, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) | |
Numerical lattice engine for simple swaps.