Tranche Struct Reference

Collateralized Bond Obligation, Cash Flow CBO. More...

#include <qle/instruments/cbo.hpp>

Collaboration diagram for Tranche:

Public Attributes
std::string	name
double	faceAmount
double	icRatio
double	ocRatio
QuantLib::Leg	leg

Detailed Description

Collateralized Bond Obligation, Cash Flow CBO.

This class holds the term sheet information on a generic Cashflow CBO with arbitrary number of tranches.

The underlying bond basket is assumed to be in a single currency.

Definition at line 43 of file cbo.hpp.

Member Data Documentation

name

std::string name

Definition at line 44 of file cbo.hpp.

faceAmount

double faceAmount

Definition at line 45 of file cbo.hpp.

icRatio

double icRatio

Definition at line 46 of file cbo.hpp.

ocRatio

double ocRatio

Definition at line 47 of file cbo.hpp.

leg

QuantLib::Leg leg

Definition at line 48 of file cbo.hpp.