QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
Public Member Functions | Protected Attributes | List of all members
LatticeShortRateModelEngine< Arguments, Results > Class Template Reference

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

#include <ql/pricingengines/latticeshortratemodelengine.hpp>

+ Inheritance diagram for LatticeShortRateModelEngine< Arguments, Results >:

Public Member Functions

 LatticeShortRateModelEngine (const boost::shared_ptr< ShortRateModel > &model, Size timeSteps)
 
 LatticeShortRateModelEngine (const Handle< ShortRateModel > &model, Size timeSteps)
 
 LatticeShortRateModelEngine (const boost::shared_ptr< ShortRateModel > &model, const TimeGrid &timeGrid)
 
void update ()
 
- Public Member Functions inherited from GenericModelEngine< ShortRateModel, Arguments, Results >
 GenericModelEngine (const Handle< ShortRateModel > &model=Handle< ShortRateModel >())
 
 GenericModelEngine (const boost::shared_ptr< ShortRateModel > &model)
 
- Public Member Functions inherited from GenericEngine< Arguments, Results >
PricingEngine::arguments * getArguments () const
 
const PricingEngine::results * getResults () const
 
void reset ()
 
void update ()
 
- Public Member Functions inherited from PricingEngine
virtual void calculate () const =0
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set< boost::shared_ptr< Observable > >::iterator, bool > registerWith (const boost::shared_ptr< Observable > &)
 
void registerWithObservables (const boost::shared_ptr< Observer > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Protected Attributes

TimeGrid timeGrid_
 
Size timeSteps_
 
boost::shared_ptr< Latticelattice_
 
- Protected Attributes inherited from GenericModelEngine< ShortRateModel, Arguments, Results >
Handle< ShortRateModelmodel_
 
- Protected Attributes inherited from GenericEngine< Arguments, Results >
Arguments arguments_
 
Results results_
 

Detailed Description

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

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

Derived engines only need to implement the calculate() method

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.

Implements Observer.