blackcdsoptionengine.hpp File Reference

Black credit default swap option engine. More...

#include <ql/termstructures/yieldtermstructure.hpp>
#include <qle/instruments/cdsoption.hpp>
#include <qle/termstructures/creditvolcurve.hpp>

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Classes
class	BlackCdsOptionEngine

Namespaces
namespace	QuantExt

Detailed Description

Black credit default swap option engine.

Definition in file blackcdsoptionengine.hpp.