/usr/include/ql/pricingengines/latticeshortratemodelengine.hpp is in libquantlib0-dev 1.7.1-1.
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/*
Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
Copyright (C) 2005 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file latticeshortratemodelengine.hpp
\brief Engine for a short-rate model specialized on a lattice
*/
#ifndef quantlib_short_rate_model_engine_hpp
#define quantlib_short_rate_model_engine_hpp
#include <ql/models/model.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>
namespace QuantLib {
//! Engine for a short-rate model specialized on a lattice
/*! Derived engines only need to implement the <tt>calculate()</tt>
method
*/
template <class Arguments, class Results>
class LatticeShortRateModelEngine
: public GenericModelEngine<ShortRateModel, Arguments, Results> {
public:
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:
TimeGrid timeGrid_;
Size timeSteps_;
boost::shared_ptr<Lattice> lattice_;
};
template <class Arguments, class Results>
LatticeShortRateModelEngine<Arguments, Results>::LatticeShortRateModelEngine(
const boost::shared_ptr<ShortRateModel>& model,
Size timeSteps)
: GenericModelEngine<ShortRateModel, Arguments, Results>(model),
timeSteps_(timeSteps) {
QL_REQUIRE(timeSteps>0,
"timeSteps must be positive, " << timeSteps <<
" not allowed");
}
template <class Arguments, class Results>
LatticeShortRateModelEngine<Arguments, Results>::LatticeShortRateModelEngine(
const Handle<ShortRateModel>& model,
Size timeSteps)
: GenericModelEngine<ShortRateModel, Arguments, Results>(model),
timeSteps_(timeSteps) {
QL_REQUIRE(timeSteps>0,
"timeSteps must be positive, " << timeSteps <<
" not allowed");
}
template <class Arguments, class Results>
LatticeShortRateModelEngine<Arguments, Results>::LatticeShortRateModelEngine(
const boost::shared_ptr<ShortRateModel>& model,
const TimeGrid& timeGrid)
: GenericModelEngine<ShortRateModel, Arguments, Results>(model),
timeGrid_(timeGrid), timeSteps_(0) {
lattice_ = this->model_->tree(timeGrid);
}
template <class Arguments, class Results>
void LatticeShortRateModelEngine<Arguments, Results>::update()
{
if (!timeGrid_.empty())
lattice_ = this->model_->tree(timeGrid_);
GenericModelEngine<ShortRateModel, Arguments, Results>::update();
}
}
#endif
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