QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <riskynotional.hpp>
Public Member Functions | |
DigitalNotionalRisk (const ext::shared_ptr< EventPaymentOffset > &paymentOffset, Real threshold) | |
void | updatePath (const std::vector< std::pair< Date, Real > > &events, NotionalPath &path) const override |
Public Member Functions inherited from NotionalRisk | |
NotionalRisk (ext::shared_ptr< EventPaymentOffset > paymentOffset) | |
virtual | ~NotionalRisk ()=default |
virtual void | updatePath (const std::vector< std::pair< Date, Real > > &events, NotionalPath &path) const =0 |
Protected Attributes | |
Real | threshold_ |
Protected Attributes inherited from NotionalRisk | |
ext::shared_ptr< EventPaymentOffset > | paymentOffset_ |
Definition at line 76 of file riskynotional.hpp.
DigitalNotionalRisk | ( | const ext::shared_ptr< EventPaymentOffset > & | paymentOffset, |
Real | threshold | ||
) |
Definition at line 78 of file riskynotional.hpp.
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overridevirtual |
Implements NotionalRisk.
Definition at line 50 of file riskynotional.cpp.
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protected |
Definition at line 86 of file riskynotional.hpp.