#include <ql/experimental/credit/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< Real > | expectedTrancheLoss |
| Public Attributes inherited from Instrument::results | |
| Real | value |
| Real | errorEstimate |
| Date | valuationDate |
| std::map< std::string, ext::any > | additionalResults |
Detailed Description
Definition at line 210 of file syntheticcdo.hpp.
Member Function Documentation
◆ 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 213 of file syntheticcdo.hpp.
◆ protectionValue
| Real protectionValue |
Definition at line 214 of file syntheticcdo.hpp.
◆ upfrontPremiumValue
| Real upfrontPremiumValue |
Definition at line 215 of file syntheticcdo.hpp.
◆ remainingNotional
| Real remainingNotional |
Definition at line 216 of file syntheticcdo.hpp.
◆ xMin
| Real xMin |
Definition at line 217 of file syntheticcdo.hpp.
◆ xMax
| Real xMax |
Definition at line 217 of file syntheticcdo.hpp.
◆ error
| Size error |
Definition at line 218 of file syntheticcdo.hpp.
◆ expectedTrancheLoss
| std::vector<Real> expectedTrancheLoss |
Definition at line 222 of file syntheticcdo.hpp.