QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <syntheticcdo.hpp>
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< Real > | expectedTrancheLoss |
Public Attributes inherited from Instrument::results | |
Real | value |
Real | errorEstimate |
Date | valuationDate |
std::map< std::string, ext::any > | additionalResults |
Definition at line 208 of file syntheticcdo.hpp.
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overridevirtual |
Implements PricingEngine::results.
Definition at line 188 of file syntheticcdo.cpp.
Real premiumValue |
Definition at line 211 of file syntheticcdo.hpp.
Real protectionValue |
Definition at line 212 of file syntheticcdo.hpp.
Real upfrontPremiumValue |
Definition at line 213 of file syntheticcdo.hpp.
Real remainingNotional |
Definition at line 214 of file syntheticcdo.hpp.
Real xMin |
Definition at line 215 of file syntheticcdo.hpp.
Real xMax |
Definition at line 215 of file syntheticcdo.hpp.
Size error |
Definition at line 216 of file syntheticcdo.hpp.
std::vector<Real> expectedTrancheLoss |
Definition at line 220 of file syntheticcdo.hpp.