- QuantLib
- LatticeShortRateModelEngine
Engine for a short-rate model specialized on a lattice. More...
#include <ql/pricingengines/latticeshortratemodelengine.hpp>
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 () |
Protected Attributes | |
TimeGrid | timeGrid_ |
Size | timeSteps_ |
boost::shared_ptr< Lattice > | lattice_ |
Engine for a short-rate model specialized on a lattice.
Derived engines only need to implement the calculate()
method
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 GenericEngine< Arguments, Results >.