public LatticeShortRateModelEngine(ShortRateModel model,
int timeSteps)
: base(model)
{
timeSteps_ = timeSteps;
Utils.QL_REQUIRE(timeSteps > 0, () => "timeSteps must be positive, " + timeSteps + " not allowed");
}
public TreeCallableFixedRateBondEngine(ShortRateModel model, TimeGrid timeGrid,
Handle <YieldTermStructure> termStructure)
: base(model, timeGrid)
{
termStructure_ = termStructure;
termStructure_.registerWith(update);
}
public TreeVanillaSwapEngine(ShortRateModel model,
TimeGrid timeGrid,
Handle <YieldTermStructure> termStructure)
: base(model, timeGrid)
{
termStructure_ = termStructure;
termStructure_.registerWith(update);
}
public TreeSwaptionEngine(ShortRateModel model,
int timeSteps,
Handle <YieldTermStructure> termStructure)
: base(model, timeSteps)
{
termStructure_ = termStructure;
termStructure_.registerWith(update);
}
public LatticeShortRateModelEngine(ShortRateModel model,
TimeGrid timeGrid)
: base(model)
{
timeGrid_ = new TimeGrid(timeGrid.Last(), timeGrid.size() - 1 /*timeGrid.dt(1) - timeGrid.dt(0)*/);
timeGrid_ = timeGrid;
timeSteps_ = 0;
lattice_ = this.model_.link.tree(timeGrid);
}
public TreeSwaptionEngine(ShortRateModel model,
TimeGrid timeGrid)
: this(model, timeGrid, new Handle <YieldTermStructure>())
{
}
/* Constructors
* \note the term structure is only needed when the short-rate
* model cannot provide one itself.
*/
public TreeSwaptionEngine(ShortRateModel model,
int timeSteps)
: this(model, timeSteps, new Handle <YieldTermStructure>())
{
}
