cdsoption.hpp File Reference

CDS option, removed requirements (rec must knock out, no upfront amount), that should be taken care of in pricing engines. More...

#include <ql/instruments/creditdefaultswap.hpp>
#include <ql/option.hpp>

Go to the source code of this file.

Classes
class	CdsOption
	CDS option. More...
class	CdsOption::arguments
	Arguments for CDS-option calculation More...
class	CdsOption::results
class	CdsOption::engine
	base class for swaption engines More...

Namespaces
namespace	QuantLib
namespace	QuantExt

Detailed Description

CDS option, removed requirements (rec must knock out, no upfront amount), that should be taken care of in pricing engines.

Definition in file cdsoption.hpp.