SyntheticCDO::arguments Class Reference

#include <qle/instruments/syntheticcdo.hpp>

Inheritance diagram for SyntheticCDO::arguments:

Collaboration diagram for SyntheticCDO::arguments:

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

Public Attributes
QuantLib::ext::shared_ptr< QuantExt::Basket >	basket
Protection::Side	side
Leg	normalizedLeg
Rate	upfrontRate
Rate	runningRate
Real	leverageFactor
DayCounter	dayCounter
BusinessDayConvention	paymentConvention
QuantLib::ext::shared_ptr< CashFlow >	upfrontPayment
QuantLib::ext::shared_ptr< CashFlow >	accrualRebate
QuantLib::ext::shared_ptr< CashFlow >	accrualRebateCurrent
bool	settlesAccrual
QuantLib::CreditDefaultSwap::ProtectionPaymentTime	protectionPaymentTime
Date	protectionStart
Date	maturity
Real	recoveryRate

Detailed Description

Definition at line 201 of file syntheticcdo.hpp.

Constructor & Destructor Documentation

arguments()

arguments

(

)

Definition at line 203 of file syntheticcdo.hpp.

: side(Protection::Side(-1)), upfrontRate(Null<Real>()), runningRate(Null<Real>()) {}

Member Function Documentation

validate()

void validate ( ) const

override

Definition at line 218 of file syntheticcdo.cpp.

                                           {
    QL_REQUIRE(side != Protection::Side(-1), "side not set");
    QL_REQUIRE(basket && !basket->names().empty(), "no basket given");
    QL_REQUIRE(runningRate != Null<Real>(), "no premium rate given");
    QL_REQUIRE(upfrontRate != Null<Real>(), "no upfront rate given");
    QL_REQUIRE(!dayCounter.empty(), "no day counter given");
}

Member Data Documentation

basket

QuantLib::ext::shared_ptr<QuantExt::Basket> basket

Definition at line 207 of file syntheticcdo.hpp.

side

Protection::Side side

Definition at line 208 of file syntheticcdo.hpp.

normalizedLeg

Leg normalizedLeg

Definition at line 209 of file syntheticcdo.hpp.

upfrontRate

Rate upfrontRate

Definition at line 211 of file syntheticcdo.hpp.

runningRate

Rate runningRate

Definition at line 212 of file syntheticcdo.hpp.

leverageFactor

Real leverageFactor

Definition at line 213 of file syntheticcdo.hpp.

dayCounter

DayCounter dayCounter

Definition at line 214 of file syntheticcdo.hpp.

paymentConvention

BusinessDayConvention paymentConvention

Definition at line 215 of file syntheticcdo.hpp.

upfrontPayment

QuantLib::ext::shared_ptr<CashFlow> upfrontPayment

Definition at line 216 of file syntheticcdo.hpp.

accrualRebate

QuantLib::ext::shared_ptr<CashFlow> accrualRebate

Definition at line 216 of file syntheticcdo.hpp.

accrualRebateCurrent

QuantLib::ext::shared_ptr<CashFlow> accrualRebateCurrent

Definition at line 216 of file syntheticcdo.hpp.

settlesAccrual

bool settlesAccrual

Definition at line 217 of file syntheticcdo.hpp.

protectionPaymentTime

QuantLib::CreditDefaultSwap::ProtectionPaymentTime protectionPaymentTime

Definition at line 218 of file syntheticcdo.hpp.

protectionStart

Date protectionStart

Definition at line 219 of file syntheticcdo.hpp.

maturity

Date maturity

Definition at line 220 of file syntheticcdo.hpp.

recoveryRate

Real recoveryRate

Definition at line 221 of file syntheticcdo.hpp.