CreditDefaultSwap::arguments Class Reference

#include <creditdefaultswap.hpp>

Inheritance diagram for CreditDefaultSwap::arguments:

Collaboration diagram for CreditDefaultSwap::arguments:

Public Member Functions
	arguments ()
void	validate () const override
Public Member Functions inherited from PricingEngine::arguments
virtual	~arguments ()=default
virtual void	validate () const =0

Public Attributes
Protection::Side	side
Real	notional
ext::optional< Rate >	upfront
Rate	spread
Leg	leg
ext::shared_ptr< SimpleCashFlow >	upfrontPayment
ext::shared_ptr< SimpleCashFlow >	accrualRebate
bool	settlesAccrual
bool	paysAtDefaultTime
ext::shared_ptr< Claim >	claim
Date	protectionStart
Date	maturity

Detailed Description

Definition at line 311 of file creditdefaultswap.hpp.

Constructor & Destructor Documentation

arguments()

arguments

(

)

Definition at line 451 of file creditdefaultswap.cpp.

Member Function Documentation

validate()

void validate ( ) const

overridevirtual

Implements PricingEngine::arguments.

Definition at line 455 of file creditdefaultswap.cpp.

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Member Data Documentation

side

Protection::Side side

Definition at line 315 of file creditdefaultswap.hpp.

notional

Real notional

Definition at line 316 of file creditdefaultswap.hpp.

upfront

ext::optional<Rate> upfront

Definition at line 317 of file creditdefaultswap.hpp.

spread

Rate spread

Definition at line 318 of file creditdefaultswap.hpp.

leg

Leg leg

Definition at line 319 of file creditdefaultswap.hpp.

upfrontPayment

ext::shared_ptr<SimpleCashFlow> upfrontPayment

Definition at line 321 of file creditdefaultswap.hpp.

accrualRebate

ext::shared_ptr<SimpleCashFlow> accrualRebate

Definition at line 322 of file creditdefaultswap.hpp.

settlesAccrual

bool settlesAccrual

Definition at line 323 of file creditdefaultswap.hpp.

paysAtDefaultTime

bool paysAtDefaultTime

Definition at line 324 of file creditdefaultswap.hpp.

claim

ext::shared_ptr<Claim> claim

Definition at line 325 of file creditdefaultswap.hpp.

protectionStart

Date protectionStart

Definition at line 326 of file creditdefaultswap.hpp.

maturity

Date maturity

Definition at line 327 of file creditdefaultswap.hpp.