QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <creditdefaultswap.hpp>
Public Member Functions | |
void | reset () override |
void | reset () override |
Public Member Functions inherited from PricingEngine::results | |
virtual | ~results ()=default |
virtual void | reset ()=0 |
Public Attributes | |
Rate | fairSpread |
Rate | fairUpfront |
Real | couponLegBPS |
Real | couponLegNPV |
Real | defaultLegNPV |
Real | upfrontBPS |
Real | upfrontNPV |
Real | accrualRebateNPV |
Public Attributes inherited from Instrument::results | |
Real | value |
Real | errorEstimate |
Date | valuationDate |
std::map< std::string, ext::any > | additionalResults |
Definition at line 331 of file creditdefaultswap.hpp.
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overridevirtual |
Reimplemented from Instrument::results.
Definition at line 469 of file creditdefaultswap.cpp.
Rate fairSpread |
Definition at line 333 of file creditdefaultswap.hpp.
Rate fairUpfront |
Definition at line 334 of file creditdefaultswap.hpp.
Real couponLegBPS |
Definition at line 335 of file creditdefaultswap.hpp.
Real couponLegNPV |
Definition at line 336 of file creditdefaultswap.hpp.
Real defaultLegNPV |
Definition at line 337 of file creditdefaultswap.hpp.
Real upfrontBPS |
Definition at line 338 of file creditdefaultswap.hpp.
Real upfrontNPV |
Definition at line 339 of file creditdefaultswap.hpp.
Real accrualRebateNPV |
Definition at line 340 of file creditdefaultswap.hpp.