QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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cdsoption.cpp File Reference
#include <ql/experimental/credit/cdsoption.hpp>
#include <ql/experimental/credit/blackcdsoptionengine.hpp>
#include <ql/exercise.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/math/solvers1d/brent.hpp>

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Namespaces

namespace  QuantLib
 

Variable Documentation

◆ engine_

ext::shared_ptr<PricingEngine> engine_
private

Definition at line 60 of file cdsoption.cpp.

◆ targetValue_

Real targetValue_
private

Definition at line 61 of file cdsoption.cpp.

◆ vol_

ext::shared_ptr<SimpleQuote> vol_
private

Definition at line 62 of file cdsoption.cpp.

◆ results_

const Instrument::results* results_
private

Definition at line 63 of file cdsoption.cpp.