Engine for a short-rate model specialized on a lattice. More...
#include <ql/pricingengines/latticeshortratemodelengine.hpp>
Public Member Functions | |
LatticeShortRateModelEngine (const ext::shared_ptr< ShortRateModel > &model, Size timeSteps) | |
LatticeShortRateModelEngine (const Handle< ShortRateModel > &model, Size timeSteps) | |
LatticeShortRateModelEngine (const ext::shared_ptr< ShortRateModel > &model, const TimeGrid &timeGrid) | |
void | update () |
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GenericModelEngine (const Handle< ShortRateModel > &model=Handle< ShortRateModel >()) | |
GenericModelEngine (const ext::shared_ptr< ShortRateModel > &model) | |
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PricingEngine::arguments * | getArguments () const |
const PricingEngine::results * | getResults () const |
void | reset () |
void | update () |
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virtual void | calculate () const =0 |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
void | registerWithObservables (const ext::shared_ptr< Observer > &) |
Size | unregisterWith (const ext::shared_ptr< Observable > &) |
void | unregisterWithAll () |
virtual void | deepUpdate () |
Protected Attributes | |
TimeGrid | timeGrid_ |
Size | timeSteps_ |
ext::shared_ptr< Lattice > | lattice_ |
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Handle< ShortRateModel > | model_ |
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Arguments | arguments_ |
Results | results_ |
Additional Inherited Members | |
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typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
Engine for a short-rate model specialized on a lattice.
Derived engines only need to implement the calculate()
method
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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.