QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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midpointcdsengine.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2008 Jose Aparicio
5 Copyright (C) 2008 Roland Lichters
6 Copyright (C) 2008, 2009 StatPro Italia srl
7
8 This file is part of QuantLib, a free-software/open-source library
9 for financial quantitative analysts and developers - http://quantlib.org/
10
11 QuantLib is free software: you can redistribute it and/or modify it
12 under the terms of the QuantLib license. You should have received a
13 copy of the license along with this program; if not, please email
14 <quantlib-dev@lists.sf.net>. The license is also available online at
15 <http://quantlib.org/license.shtml>.
16
17 This program is distributed in the hope that it will be useful, but WITHOUT
18 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
19 FOR A PARTICULAR PURPOSE. See the license for more details.
20*/
21
22/*! \file midpointcdsengine.hpp
23 \brief Mid-point engine for credit default swaps
24*/
25
26#ifndef quantlib_mid_point_cds_engine_hpp
27#define quantlib_mid_point_cds_engine_hpp
28
30#include <ql/optional.hpp>
31
32namespace QuantLib {
33
35 public:
37 Real recoveryRate,
38 Handle<YieldTermStructure> discountCurve,
39 const ext::optional<bool>& includeSettlementDateFlows = ext::nullopt);
40 void calculate() const override;
41
42 private:
46 ext::optional<bool> includeSettlementDateFlows_;
47 };
48
49}
50
51
52#endif
Shared handle to an observable.
Definition: handle.hpp:41
Handle< YieldTermStructure > discountCurve_
Handle< DefaultProbabilityTermStructure > probability_
ext::optional< bool > includeSettlementDateFlows_
void calculate() const override
Credit default swap.
QL_REAL Real
real number
Definition: types.hpp:50
const boost::none_t & nullopt
Definition: optional.cpp:27
Definition: any.hpp:35
Maps optional to either the boost or std implementation.