QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
Black-formula CDS-option engine. More...
#include <blackcdsoptionengine.hpp>
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_ |
Black-formula CDS-option engine.
Definition at line 36 of file blackcdsoptionengine.hpp.
BlackCdsOptionEngine | ( | Handle< DefaultProbabilityTermStructure > | probability, |
Real | recoveryRate, | ||
Handle< YieldTermStructure > | termStructure, | ||
Handle< Quote > | vol | ||
) |
|
overridevirtual |
Implements PricingEngine.
Definition at line 42 of file blackcdsoptionengine.cpp.
Handle< YieldTermStructure > termStructure | ( | ) |
Definition at line 82 of file blackcdsoptionengine.cpp.
Definition at line 86 of file blackcdsoptionengine.cpp.
|
private |
Definition at line 46 of file blackcdsoptionengine.hpp.
|
private |
Definition at line 47 of file blackcdsoptionengine.hpp.
|
private |
Definition at line 48 of file blackcdsoptionengine.hpp.
Definition at line 49 of file blackcdsoptionengine.hpp.