BlackCdsOptionEngine Class Reference

Black-formula CDS-option engine. More...

#include <ql/experimental/credit/blackcdsoptionengine.hpp>

Inheritance diagram for BlackCdsOptionEngine:

Collaboration diagram for BlackCdsOptionEngine:

Public Member Functions
	BlackCdsOptionEngine (Handle< DefaultProbabilityTermStructure >, Real recoveryRate, Handle< YieldTermStructure > termStructure, Handle< Quote > vol)
void	calculate () const override
Handle< YieldTermStructure >	termStructure ()
Handle< Quote >	volatility ()
Public Member Functions inherited from GenericEngine< CdsOption::arguments, CdsOption::results >
PricingEngine::arguments *	getArguments () const override
const PricingEngine::results *	getResults () const override
void	reset () override
void	update () override
Public Member Functions inherited from PricingEngine
	~PricingEngine () override=default
virtual arguments *	getArguments () const =0
virtual const results *	getResults () const =0
virtual void	reset ()=0
virtual void	calculate () const =0
Public Member Functions inherited from Observable
	Observable ()
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~Observer ()
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	update ()=0
virtual void	deepUpdate ()

Private Attributes
Handle< DefaultProbabilityTermStructure >	probability_
Real	recoveryRate_
Handle< YieldTermStructure >	termStructure_
Handle< Quote >	volatility_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Attributes inherited from GenericEngine< CdsOption::arguments, CdsOption::results >
CdsOption::arguments	arguments_
CdsOption::results	results_

Detailed Description

Black-formula CDS-option engine.

Warning:

The engine assumes that the exercise date equals the start date of the passed CDS.

Definition at line 36 of file blackcdsoptionengine.hpp.

Constructor & Destructor Documentation

BlackCdsOptionEngine()

BlackCdsOptionEngine	(	Handle< DefaultProbabilityTermStructure >	probability,
		Real	recoveryRate,
		Handle< YieldTermStructure >	termStructure,
		Handle< Quote >	vol
	)

Definition at line 30 of file blackcdsoptionengine.cpp.

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Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 42 of file blackcdsoptionengine.cpp.

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termStructure()

Handle< YieldTermStructure > termStructure

(

)

Definition at line 82 of file blackcdsoptionengine.cpp.

volatility()

Handle< Quote > volatility

(

)

Definition at line 86 of file blackcdsoptionengine.cpp.

Member Data Documentation

probability_

Handle<DefaultProbabilityTermStructure> probability_

private

Definition at line 46 of file blackcdsoptionengine.hpp.

recoveryRate_

Real recoveryRate_

private

Definition at line 47 of file blackcdsoptionengine.hpp.

termStructure_

Handle<YieldTermStructure> termStructure_

private

Definition at line 48 of file blackcdsoptionengine.hpp.

volatility_

Handle<Quote> volatility_

private

Definition at line 49 of file blackcdsoptionengine.hpp.