IndexCreditDefaultSwap Class Reference

#include <qle/instruments/indexcreditdefaultswap.hpp>

Inheritance diagram for IndexCreditDefaultSwap:

Collaboration diagram for IndexCreditDefaultSwap:

Classes
class	arguments
class	engine
class	results

Public Member Functions
	IndexCreditDefaultSwap (Protection::Side side, Real notional, std::vector< Real > underlyingNotionals, Rate spread, const Schedule &schedule, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, bool settlesAccrual=true, ProtectionPaymentTime protectionPaymentTime=atDefault, const Date &protectionStart=Date(), const QuantLib::ext::shared_ptr< Claim > &claim=QuantLib::ext::shared_ptr< Claim >(), const DayCounter &lastPeriodDayCounter=DayCounter(), bool rebatesAccrual=true, const Date &tradeDate=Date(), Natural cashSettlementDays=3)
	IndexCreditDefaultSwap (Protection::Side side, Real notional, std::vector< Real > underlyingNotionals, Rate upfront, Rate spread, const Schedule &schedule, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, bool settlesAccrual=true, ProtectionPaymentTime protectionPaymentTime=atDefault, const Date &protectionStart=Date(), const Date &upfrontDate=Date(), const QuantLib::ext::shared_ptr< Claim > &claim=QuantLib::ext::shared_ptr< Claim >(), const DayCounter &lastPeriodDayCounter=DayCounter(), bool rebatesAccrual=true, const Date &tradeDate=Date(), Natural cashSettlementDays=3)
Inspectors
const std::vector< Real > &	underlyingNotionals () const

Protected Member Functions
Additional interface
virtual QuantLib::ext::shared_ptr< PricingEngine >	buildPricingEngine (const Handle< DefaultProbabilityTermStructure > &p, Real r, const Handle< YieldTermStructure > &d, PricingModel model=Midpoint) const override

Instrument interface
std::vector< Real >	underlyingNotionals_
void	setupArguments (PricingEngine::arguments *) const override

Detailed Description

Definition at line 42 of file indexcreditdefaultswap.hpp.

Constructor & Destructor Documentation

IndexCreditDefaultSwap() [1/2]

IndexCreditDefaultSwap	(	Protection::Side	side,
		Real	notional,
		std::vector< Real >	underlyingNotionals,
		Rate	spread,
		const Schedule &	schedule,
		BusinessDayConvention	paymentConvention,
		const DayCounter &	dayCounter,
		bool	settlesAccrual = true,
		ProtectionPaymentTime	protectionPaymentTime = atDefault,
		const Date &	protectionStart = Date(),
		const QuantLib::ext::shared_ptr< Claim > &	claim = QuantLib::ext::shared_ptr<Claim>(),
		const DayCounter &	lastPeriodDayCounter = DayCounter(),
		bool	rebatesAccrual = true,
		const Date &	tradeDate = Date(),
		Natural	cashSettlementDays = 3
	)

Definition at line 48 of file indexcreditdefaultswap.hpp.

        : QuantLib::CreditDefaultSwap(side, notional, spread, schedule, paymentConvention, dayCounter, settlesAccrual,
                            protectionPaymentTime, protectionStart, claim, lastPeriodDayCounter, rebatesAccrual,
                            tradeDate, cashSettlementDays),
          underlyingNotionals_(underlyingNotionals) {}

IndexCreditDefaultSwap() [2/2]

IndexCreditDefaultSwap	(	Protection::Side	side,
		Real	notional,
		std::vector< Real >	underlyingNotionals,
		Rate	upfront,
		Rate	spread,
		const Schedule &	schedule,
		BusinessDayConvention	paymentConvention,
		const DayCounter &	dayCounter,
		bool	settlesAccrual = true,
		ProtectionPaymentTime	protectionPaymentTime = atDefault,
		const Date &	protectionStart = Date(),
		const Date &	upfrontDate = Date(),
		const QuantLib::ext::shared_ptr< Claim > &	claim = QuantLib::ext::shared_ptr<Claim>(),
		const DayCounter &	lastPeriodDayCounter = DayCounter(),
		bool	rebatesAccrual = true,
		const Date &	tradeDate = Date(),
		Natural	cashSettlementDays = 3
	)

Definition at line 63 of file indexcreditdefaultswap.hpp.

        : QuantLib::CreditDefaultSwap(side, notional, upfront, spread, schedule, paymentConvention, dayCounter, settlesAccrual,
                            protectionPaymentTime, protectionStart, upfrontDate, claim, lastPeriodDayCounter,
                            rebatesAccrual, tradeDate, cashSettlementDays),
          underlyingNotionals_(underlyingNotionals) {}

Member Function Documentation

underlyingNotionals()

const std::vector< Real > & underlyingNotionals

(

)

const

Definition at line 81 of file indexcreditdefaultswap.hpp.

{ return underlyingNotionals_; }

setupArguments()

void setupArguments ( PricingEngine::arguments *  args ) const

override

Definition at line 24 of file indexcreditdefaultswap.cpp.

                                                                              {
    CreditDefaultSwap::setupArguments(args);
    IndexCreditDefaultSwap::arguments* arguments = dynamic_cast<IndexCreditDefaultSwap::arguments*>(args);
    QL_REQUIRE(arguments != 0, "wrong argument type");
    arguments->underlyingNotionals = underlyingNotionals_;
}

buildPricingEngine()

QuantLib::ext::shared_ptr< PricingEngine > buildPricingEngine ( const Handle< DefaultProbabilityTermStructure > &  p, Real  r, const Handle< YieldTermStructure > &  d, PricingModel  model = Midpoint  ) const

overrideprotectedvirtual

Definition at line 32 of file indexcreditdefaultswap.cpp.

                                                                                                          {
    return QuantLib::ext::make_shared<MidPointIndexCdsEngine>(p, r, d, true);
}

Member Data Documentation

underlyingNotionals_

std::vector<Real> underlyingNotionals_

protected

Definition at line 91 of file indexcreditdefaultswap.hpp.