QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Public Attributes | List of all members
SyntheticCDO::results Class Reference

#include <syntheticcdo.hpp>

+ Inheritance diagram for SyntheticCDO::results:
+ Collaboration diagram for SyntheticCDO::results:

Public Member Functions

void reset () override
 
- Public Member Functions inherited from Instrument::results
void reset () override
 
- Public Member Functions inherited from PricingEngine::results
virtual ~results ()=default
 
virtual void reset ()=0
 

Public Attributes

Real premiumValue
 
Real protectionValue
 
Real upfrontPremiumValue
 
Real remainingNotional
 
Real xMin
 
Real xMax
 
Size error
 
std::vector< RealexpectedTrancheLoss
 
- Public Attributes inherited from Instrument::results
Real value
 
Real errorEstimate
 
Date valuationDate
 
std::map< std::string, ext::any > additionalResults
 

Detailed Description

Definition at line 208 of file syntheticcdo.hpp.

Member Function Documentation

◆ reset()

void reset ( )
overridevirtual

Implements PricingEngine::results.

Definition at line 188 of file syntheticcdo.cpp.

+ Here is the call graph for this function:

Member Data Documentation

◆ premiumValue

Real premiumValue

Definition at line 211 of file syntheticcdo.hpp.

◆ protectionValue

Real protectionValue

Definition at line 212 of file syntheticcdo.hpp.

◆ upfrontPremiumValue

Real upfrontPremiumValue

Definition at line 213 of file syntheticcdo.hpp.

◆ remainingNotional

Real remainingNotional

Definition at line 214 of file syntheticcdo.hpp.

◆ xMin

Real xMin

Definition at line 215 of file syntheticcdo.hpp.

◆ xMax

Real xMax

Definition at line 215 of file syntheticcdo.hpp.

◆ error

Size error

Definition at line 216 of file syntheticcdo.hpp.

◆ expectedTrancheLoss

std::vector<Real> expectedTrancheLoss

Definition at line 220 of file syntheticcdo.hpp.