cdsoption.cpp File Reference

#include <qle/instruments/cdsoption.hpp>
#include <qle/pricingengines/blackcdsoptionengine.hpp>
#include <ql/exercise.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/math/solvers1d/brent.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <boost/make_shared.hpp>

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Namespaces
namespace	QuantExt

Variable Documentation

engine_

QuantLib::ext::shared_ptr<PricingEngine> engine_

private

Definition at line 78 of file cdsoption.cpp.

targetValue_

Real targetValue_

private

Definition at line 79 of file cdsoption.cpp.

vol_

QuantLib::ext::shared_ptr<SimpleQuote> vol_

private

Definition at line 80 of file cdsoption.cpp.

results_

const Instrument::results* results_

private

Definition at line 81 of file cdsoption.cpp.