#include <qle/instruments/syntheticcdo.hpp>

Inheritance diagram for SyntheticCDO::results:

Collaboration diagram for SyntheticCDO::results:

Public Member Functions
void	reset () override

Public Attributes
Real	premiumValue

Real	protectionValue

Real	upfrontPremiumValue

Real	accrualRebateValue

Real	accrualRebateCurrentValue

Real	remainingNotional

Real	xMin

Real	xMax

Size	error

std::vector< Real >	expectedTrancheLoss

Detailed Description

Definition at line 224 of file syntheticcdo.hpp.

Member Function Documentation

◆ reset()

void reset ( )

override

Definition at line 226 of file syntheticcdo.cpp.

                                {
    Instrument::results::reset();
    premiumValue = Null<Real>();
    protectionValue = Null<Real>();
    upfrontPremiumValue = Null<Real>();
    remainingNotional = Null<Real>();
    error = 0;
    expectedTrancheLoss.clear();
}

Here is the call graph for this function:

Member Data Documentation

◆ premiumValue

Real premiumValue

Definition at line 227 of file syntheticcdo.hpp.

◆ protectionValue

Real protectionValue

Definition at line 228 of file syntheticcdo.hpp.

◆ upfrontPremiumValue

Real upfrontPremiumValue

Definition at line 229 of file syntheticcdo.hpp.

◆ accrualRebateValue

Real accrualRebateValue

Definition at line 230 of file syntheticcdo.hpp.

◆ accrualRebateCurrentValue

Real accrualRebateCurrentValue

Definition at line 231 of file syntheticcdo.hpp.

◆ remainingNotional

Real remainingNotional

Definition at line 232 of file syntheticcdo.hpp.

◆ xMin

Real xMin

Definition at line 233 of file syntheticcdo.hpp.

◆ xMax

Real xMax

Definition at line 233 of file syntheticcdo.hpp.

◆ error

Size error

Definition at line 234 of file syntheticcdo.hpp.

◆ expectedTrancheLoss

std::vector<Real> expectedTrancheLoss

Definition at line 238 of file syntheticcdo.hpp.

Public Member Functions

Public Attributes