QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
pricingengines
credit
midpointcdsengine.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2008 Jose Aparicio
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Copyright (C) 2008 Roland Lichters
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Copyright (C) 2008, 2009 StatPro Italia srl
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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/*! \file midpointcdsengine.hpp
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\brief Mid-point engine for credit default swaps
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*/
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#ifndef quantlib_mid_point_cds_engine_hpp
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#define quantlib_mid_point_cds_engine_hpp
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#include <
ql/instruments/creditdefaultswap.hpp
>
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#include <
ql/optional.hpp
>
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namespace
QuantLib
{
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class
MidPointCdsEngine
:
public
CreditDefaultSwap::engine
{
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public
:
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MidPointCdsEngine
(
Handle<DefaultProbabilityTermStructure>
,
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Real
recoveryRate,
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Handle<YieldTermStructure>
discountCurve,
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const
ext::optional<bool>& includeSettlementDateFlows =
ext::nullopt
);
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void
calculate
()
const override
;
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private
:
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Handle<DefaultProbabilityTermStructure>
probability_
;
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Real
recoveryRate_
;
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Handle<YieldTermStructure>
discountCurve_
;
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ext::optional<bool>
includeSettlementDateFlows_
;
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};
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}
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#endif
QuantLib::CreditDefaultSwap::engine
Definition:
creditdefaultswap.hpp:346
QuantLib::Handle
Shared handle to an observable.
Definition:
handle.hpp:41
QuantLib::MidPointCdsEngine
Definition:
midpointcdsengine.hpp:34
QuantLib::MidPointCdsEngine::discountCurve_
Handle< YieldTermStructure > discountCurve_
Definition:
midpointcdsengine.hpp:45
QuantLib::MidPointCdsEngine::probability_
Handle< DefaultProbabilityTermStructure > probability_
Definition:
midpointcdsengine.hpp:43
QuantLib::MidPointCdsEngine::includeSettlementDateFlows_
ext::optional< bool > includeSettlementDateFlows_
Definition:
midpointcdsengine.hpp:46
QuantLib::MidPointCdsEngine::calculate
void calculate() const override
Definition:
midpointcdsengine.cpp:42
QuantLib::MidPointCdsEngine::recoveryRate_
Real recoveryRate_
Definition:
midpointcdsengine.hpp:44
creditdefaultswap.hpp
Credit default swap.
QuantLib::Real
QL_REAL Real
real number
Definition:
types.hpp:50
QuantLib::ext::nullopt
const boost::none_t & nullopt
Definition:
optional.cpp:27
QuantLib
Definition:
any.hpp:35
optional.hpp
Maps optional to either the boost or std implementation.
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