20#ifndef quantlib_cva_swap_engine_hpp
21#define quantlib_cva_swap_engine_hpp
29 class YieldTermStructure;
69 Real ctptyRecoveryRate,
72 Real invstRecoveryRate = 0.999);
87 Real ctptyRecoveryRate,
90 Real invstRecoveryRate = 0.999);
106 Real ctptyRecoveryRate,
109 Real invstRecoveryRate = 0.999);
Handle< YieldTermStructure > discountCurve_
Handle< PricingEngine > swaptionletEngine_
Handle< DefaultProbabilityTermStructure > invstDTS_
Handle< PricingEngine > baseSwapEngine_
void calculate() const override
Handle< DefaultProbabilityTermStructure > defaultTS_
Shared handle to an observable.
default-probability term structure
Real Volatility
volatility
Globally accessible relinkable pointer.
Simple fixed-rate vs Libor swap.