/src/quantlib/ql/pricingengines/latticeshortratemodelengine.hpp

Source (jump to first uncovered line)
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 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
 <https://www.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 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() override;

      protected:
        TimeGrid timeGrid_;
        Size timeSteps_;
        ext::shared_ptr<Lattice> lattice_;
    };

    template <class Arguments, class Results>
    LatticeShortRateModelEngine<Arguments, Results>::LatticeShortRateModelEngine(
            const ext::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 ext::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

Line	Count	Source (jump to first uncovered line)
1		/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3		/*
4		Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
5		Copyright (C) 2005 StatPro Italia srl
6
7		This file is part of QuantLib, a free-software/open-source library
8		for financial quantitative analysts and developers - http://quantlib.org/
9
10		QuantLib is free software: you can redistribute it and/or modify it
11		under the terms of the QuantLib license. You should have received a
12		copy of the license along with this program; if not, please email
13		<quantlib-dev@lists.sf.net>. The license is also available online at
14		<https://www.quantlib.org/license.shtml>.
15
16		This program is distributed in the hope that it will be useful, but WITHOUT
17		ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18		FOR A PARTICULAR PURPOSE. See the license for more details.
19		*/
20
21		/*! \file latticeshortratemodelengine.hpp
22		\brief Engine for a short-rate model specialized on a lattice
23		*/
24
25		#ifndef quantlib_short_rate_model_engine_hpp
26		#define quantlib_short_rate_model_engine_hpp
27
28		#include <ql/models/model.hpp>
29		#include <ql/pricingengines/genericmodelengine.hpp>
30
31		namespace QuantLib {
32
33		//! Engine for a short-rate model specialized on a lattice
34		/*! Derived engines only need to implement the <tt>calculate()</tt>
35		method
36		*/
37		template <class Arguments, class Results>
38		class LatticeShortRateModelEngine
39		: public GenericModelEngine<ShortRateModel, Arguments, Results> {
40		public:
41		LatticeShortRateModelEngine(
42		const ext::shared_ptr<ShortRateModel>& model,
43		Size timeSteps);
44		LatticeShortRateModelEngine(
45		const Handle<ShortRateModel>& model,
46		Size timeSteps);
47		LatticeShortRateModelEngine(
48		const ext::shared_ptr<ShortRateModel>& model,
49		const TimeGrid& timeGrid);
50		void update() override;
51
52		protected:
53		TimeGrid timeGrid_;
54		Size timeSteps_;
55		ext::shared_ptr<Lattice> lattice_;
56		};
57
58		template <class Arguments, class Results>
59		LatticeShortRateModelEngine<Arguments, Results>::LatticeShortRateModelEngine(
60		const ext::shared_ptr<ShortRateModel>& model,
61		Size timeSteps)
62	0	: GenericModelEngine<ShortRateModel, Arguments, Results>(model),
63	0	timeSteps_(timeSteps) {
64	0	QL_REQUIRE(timeSteps>0,
65	0	"timeSteps must be positive, " << timeSteps <<
66	0	" not allowed");
67	0	} Unexecuted instantiation: QuantLib::LatticeShortRateModelEngine<QuantLib::CallableBond::arguments, QuantLib::CallableBond::results>::LatticeShortRateModelEngine(boost::shared_ptr<QuantLib::ShortRateModel> const&, unsigned long) Unexecuted instantiation: QuantLib::LatticeShortRateModelEngine<QuantLib::CapFloor::arguments, QuantLib::Instrument::results>::LatticeShortRateModelEngine(boost::shared_ptr<QuantLib::ShortRateModel> const&, unsigned long) Unexecuted instantiation: QuantLib::LatticeShortRateModelEngine<QuantLib::FixedVsFloatingSwap::arguments, QuantLib::FixedVsFloatingSwap::results>::LatticeShortRateModelEngine(boost::shared_ptr<QuantLib::ShortRateModel> const&, unsigned long) Unexecuted instantiation: QuantLib::LatticeShortRateModelEngine<QuantLib::Swaption::arguments, QuantLib::Instrument::results>::LatticeShortRateModelEngine(boost::shared_ptr<QuantLib::ShortRateModel> const&, unsigned long)
68
69		template <class Arguments, class Results>
70		LatticeShortRateModelEngine<Arguments, Results>::LatticeShortRateModelEngine(
71		const Handle<ShortRateModel>& model,
72		Size timeSteps)
73	0	: GenericModelEngine<ShortRateModel, Arguments, Results>(model),
74	0	timeSteps_(timeSteps) {
75	0	QL_REQUIRE(timeSteps>0,
76	0	"timeSteps must be positive, " << timeSteps <<
77	0	" not allowed");
78	0	}
79
80		template <class Arguments, class Results>
81		LatticeShortRateModelEngine<Arguments, Results>::LatticeShortRateModelEngine(
82		const ext::shared_ptr<ShortRateModel>& model,
83		const TimeGrid& timeGrid)
84	0	: GenericModelEngine<ShortRateModel, Arguments, Results>(model),
85	0	timeGrid_(timeGrid), timeSteps_(0) {
86	0	lattice_ = this->model_->tree(timeGrid);
87	0	} Unexecuted instantiation: QuantLib::LatticeShortRateModelEngine<QuantLib::CallableBond::arguments, QuantLib::CallableBond::results>::LatticeShortRateModelEngine(boost::shared_ptr<QuantLib::ShortRateModel> const&, QuantLib::TimeGrid const&) Unexecuted instantiation: QuantLib::LatticeShortRateModelEngine<QuantLib::CapFloor::arguments, QuantLib::Instrument::results>::LatticeShortRateModelEngine(boost::shared_ptr<QuantLib::ShortRateModel> const&, QuantLib::TimeGrid const&) Unexecuted instantiation: QuantLib::LatticeShortRateModelEngine<QuantLib::FixedVsFloatingSwap::arguments, QuantLib::FixedVsFloatingSwap::results>::LatticeShortRateModelEngine(boost::shared_ptr<QuantLib::ShortRateModel> const&, QuantLib::TimeGrid const&) Unexecuted instantiation: QuantLib::LatticeShortRateModelEngine<QuantLib::Swaption::arguments, QuantLib::Instrument::results>::LatticeShortRateModelEngine(boost::shared_ptr<QuantLib::ShortRateModel> const&, QuantLib::TimeGrid const&)
88
89		template <class Arguments, class Results>
90		void LatticeShortRateModelEngine<Arguments, Results>::update()
91	0	{
92	0	if (!timeGrid_.empty())
93	0	lattice_ = this->model_->tree(timeGrid_);
94	0	GenericModelEngine<ShortRateModel, Arguments, Results>::update();
95	0	} Unexecuted instantiation: QuantLib::LatticeShortRateModelEngine<QuantLib::CallableBond::arguments, QuantLib::CallableBond::results>::update() Unexecuted instantiation: QuantLib::LatticeShortRateModelEngine<QuantLib::CapFloor::arguments, QuantLib::Instrument::results>::update() Unexecuted instantiation: QuantLib::LatticeShortRateModelEngine<QuantLib::FixedVsFloatingSwap::arguments, QuantLib::FixedVsFloatingSwap::results>::update() Unexecuted instantiation: QuantLib::LatticeShortRateModelEngine<QuantLib::Swaption::arguments, QuantLib::Instrument::results>::update()
96
97		}
98
99
100		#endif

Coverage Report

Created: 2025-09-04 07:11