LatticeShortRateModelEngine Class Template Reference

#include <latticeshortratemodelengine.hpp>

Inheritance diagram for LatticeShortRateModelEngine:

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Detailed Description

template<class Arguments, class Results>
class QuantLib::PricingEngines::LatticeShortRateModelEngine< Arguments, Results >

Engine for a short-rate model specialized on a lattice.

Derived engines only need to implement the calculate() method


Public Member Functions

 LatticeShortRateModelEngine (const Handle< ShortRateModels::Model > &model, Size timeSteps)
 LatticeShortRateModelEngine (const Handle< ShortRateModels::Model > &model, const TimeGrid &timeGrid)
void update ()

Protected Attributes

TimeGrid timeGrid_
Size timeSteps_
Handle< Lattices::Latticelattice_


Member Function Documentation

void update  )  [virtual]
 

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Reimplemented from GenericModelEngine< ShortRateModels::Model, Arguments, Results >.


The documentation for this class was generated from the following file:

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