Re: DiscretizedDiscountBond and Tree

Posted by Allen Kuo on
URL: http://quantlib.414.s1.nabble.com/DiscretizedDiscountBond-and-Tree-tp1230p1231.html

 

> I am going to write tree enigne for bond -like TreeVanillaSwapEngine- but DiscretizedDiscountBond

> class membership function mandatoryTimes() returns empty vector. I am going to use HullWhite::tree >for tree.

> How can I form timeGrid for bond.

 

I think the base class which you d erive from when you create your TreeXXXEngine class creates the time grid for you, as long as you pass in the number of grid points into your TreeXXXEngine constructor and call the base class appropriately. That base class is LatticeShortRateModelEngine.

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