IndexCdsOption::arguments Class Reference

Arguments for index CDS option calculation More...

#include <qle/instruments/indexcdsoption.hpp>

Inheritance diagram for IndexCdsOption::arguments:

Collaboration diagram for IndexCdsOption::arguments:

Public Member Functions
	arguments ()
void	validate () const override

Public Attributes
QuantLib::ext::shared_ptr< IndexCreditDefaultSwap >	swap
QuantLib::Real	strike
CdsOption::StrikeType	strikeType
Settlement::Type	settlementType
QuantLib::Real	tradeDateNtl
QuantLib::Real	realisedFep
QuantLib::Period	indexTerm
Public Attributes inherited from IndexCreditDefaultSwap::arguments
std::vector< Real >	underlyingNotionals

Detailed Description

Arguments for index CDS option calculation

Definition at line 92 of file indexcdsoption.hpp.

Constructor & Destructor Documentation

arguments()

arguments

(

)

Definition at line 94 of file indexcdsoption.hpp.

        : strike(QuantLib::Null<QuantLib::Real>()), strikeType(CdsOption::Spread), settlementType(Settlement::Cash),
          tradeDateNtl(QuantLib::Null<QuantLib::Real>()), realisedFep(QuantLib::Null<QuantLib::Real>()) {}

Member Function Documentation

validate()

void validate ( ) const

override

Definition at line 135 of file indexcdsoption.cpp.

                                             {
    IndexCreditDefaultSwap::arguments::validate();
    Option::arguments::validate();
    QL_REQUIRE(swap, "CDS not set");
    QL_REQUIRE(exercise, "exercise not set");
}

Member Data Documentation

swap

QuantLib::ext::shared_ptr<IndexCreditDefaultSwap> swap

Definition at line 98 of file indexcdsoption.hpp.

strike

QuantLib::Real strike

Definition at line 99 of file indexcdsoption.hpp.

strikeType

CdsOption::StrikeType strikeType

Definition at line 100 of file indexcdsoption.hpp.

settlementType

Settlement::Type settlementType

Definition at line 101 of file indexcdsoption.hpp.

tradeDateNtl

QuantLib::Real tradeDateNtl

Definition at line 102 of file indexcdsoption.hpp.

realisedFep

QuantLib::Real realisedFep

Definition at line 103 of file indexcdsoption.hpp.

indexTerm

QuantLib::Period indexTerm

Definition at line 104 of file indexcdsoption.hpp.