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>()) { }