IntegralCdsEngine Class Reference

#include <integralcdsengine.hpp>

Inheritance diagram for IntegralCdsEngine:

Collaboration diagram for IntegralCdsEngine:

Public Member Functions
	IntegralCdsEngine (const Period &integrationStep, Handle< DefaultProbabilityTermStructure >, Real recoveryRate, Handle< YieldTermStructure > discountCurve, const ext::optional< bool > &includeSettlementDateFlows=ext::nullopt)
void	calculate () const override
Public Member Functions inherited from GenericEngine< CreditDefaultSwap::arguments, CreditDefaultSwap::results >
PricingEngine::arguments *	getArguments () const override
const PricingEngine::results *	getResults () const override
void	reset () override
void	update () override
Public Member Functions inherited from PricingEngine
	~PricingEngine () override=default
virtual arguments *	getArguments () const =0
virtual const results *	getResults () const =0
virtual void	reset ()=0
virtual void	calculate () const =0
Public Member Functions inherited from Observable
	Observable ()=default
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~Observer ()
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	update ()=0
virtual void	deepUpdate ()

Private Attributes
Period	integrationStep_
Handle< DefaultProbabilityTermStructure >	probability_
Real	recoveryRate_
Handle< YieldTermStructure >	discountCurve_
ext::optional< bool >	includeSettlementDateFlows_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Attributes inherited from GenericEngine< CreditDefaultSwap::arguments, CreditDefaultSwap::results >
CreditDefaultSwap::arguments	arguments_
CreditDefaultSwap::results	results_

Detailed Description

Definition at line 33 of file integralcdsengine.hpp.

Constructor & Destructor Documentation

IntegralCdsEngine()

IntegralCdsEngine	(	const Period &	integrationStep,
		Handle< DefaultProbabilityTermStructure >	probability,
		Real	recoveryRate,
		Handle< YieldTermStructure >	discountCurve,
		const ext::optional< bool > &	includeSettlementDateFlows = ext::nullopt
	)

Definition at line 31 of file integralcdsengine.cpp.

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Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 43 of file integralcdsengine.cpp.

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Member Data Documentation

integrationStep_

Period integrationStep_

private

Definition at line 43 of file integralcdsengine.hpp.

probability_

Handle<DefaultProbabilityTermStructure> probability_

private

Definition at line 44 of file integralcdsengine.hpp.

recoveryRate_

Real recoveryRate_

private

Definition at line 45 of file integralcdsengine.hpp.

discountCurve_

Handle<YieldTermStructure> discountCurve_

private

Definition at line 46 of file integralcdsengine.hpp.

includeSettlementDateFlows_

ext::optional<bool> includeSettlementDateFlows_

private

Definition at line 47 of file integralcdsengine.hpp.