QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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CreditDefaultSwap Member List

This is the complete list of members for CreditDefaultSwap, including all inherited members.

accrualRebate() constCreditDefaultSwap
accrualRebate_CreditDefaultSwapprotected
accrualRebateNPV() constCreditDefaultSwap
accrualRebateNPV_CreditDefaultSwapmutableprotected
additionalResults() constInstrument
additionalResults_Instrumentmutableprotected
alwaysForward_LazyObjectprotected
alwaysForwardNotifications()LazyObject
calculate() const overrideInstrumentprotectedvirtual
calculated_LazyObjectmutableprotected
cashSettlementDays() constCreditDefaultSwap
cashSettlementDays_CreditDefaultSwapprotected
claim_CreditDefaultSwapprotected
conventionalSpread(Real conventionalRecovery, const Handle< YieldTermStructure > &discountCurve, const DayCounter &dayCounter, PricingModel model=Midpoint) constCreditDefaultSwap
couponLegBPS() constCreditDefaultSwap
couponLegBPS_CreditDefaultSwapmutableprotected
couponLegNPV() constCreditDefaultSwap
couponLegNPV_CreditDefaultSwapprotected
coupons() constCreditDefaultSwap
CreditDefaultSwap(Protection::Side side, Real notional, Rate spread, const Schedule &schedule, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, bool settlesAccrual=true, bool paysAtDefaultTime=true, const Date &protectionStart=Date(), ext::shared_ptr< Claim >=ext::shared_ptr< Claim >(), const DayCounter &lastPeriodDayCounter=DayCounter(), bool rebatesAccrual=true, const Date &tradeDate=Date(), Natural cashSettlementDays=3)CreditDefaultSwap
CreditDefaultSwap(Protection::Side side, Real notional, Rate upfront, Rate spread, const Schedule &schedule, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, bool settlesAccrual=true, bool paysAtDefaultTime=true, const Date &protectionStart=Date(), const Date &upfrontDate=Date(), ext::shared_ptr< Claim >=ext::shared_ptr< Claim >(), const DayCounter &lastPeriodDayCounter=DayCounter(), bool rebatesAccrual=true, const Date &tradeDate=Date(), Natural cashSettlementDays=3)CreditDefaultSwap
deepUpdate()Observervirtual
defaultLegNPV() constCreditDefaultSwap
defaultLegNPV_CreditDefaultSwapmutableprotected
engine_Instrumentprotected
errorEstimate() constInstrument
errorEstimate_Instrumentprotected
fairSpread() constCreditDefaultSwap
fairSpread_CreditDefaultSwapmutableprotected
fairUpfront() constCreditDefaultSwap
fairUpfront_CreditDefaultSwapmutableprotected
fetchResults(const PricingEngine::results *) const overrideCreditDefaultSwapvirtual
forwardFirstNotificationOnly()LazyObject
freeze()LazyObject
frozen_LazyObjectprotected
impliedHazardRate(Real targetNPV, const Handle< YieldTermStructure > &discountCurve, const DayCounter &dayCounter, Real recoveryRate=0.4, Real accuracy=1.0e-8, PricingModel model=Midpoint) constCreditDefaultSwap
init(const Schedule &schedule, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, const DayCounter &lastPeriodDayCounter, bool rebatesAccrual, const Date &upfrontDate=Date())CreditDefaultSwapprivate
Instrument()Instrument
isCalculated() constLazyObject
ISDA enum valueCreditDefaultSwap
isExpired() const overrideCreditDefaultSwapvirtual
QuantLib::iterator typedefObservableprivate
QuantLib::Observer::iterator typedefObserver
LazyObject()LazyObject
leg_CreditDefaultSwapprotected
maturity_CreditDefaultSwapprotected
Midpoint enum valueCreditDefaultSwap
notifyObservers()Observable
notional() constCreditDefaultSwap
notional_CreditDefaultSwapprotected
NPV() constInstrument
NPV_Instrumentmutableprotected
Observable()Observable
Observable(const Observable &)Observable
Observable(Observable &&)=deleteObservable
observables_Observerprivate
Observer()=defaultObserver
QuantLib::Observer::Observer(const Observer &)Observer
observers_Observableprivate
QuantLib::operator=(const Observable &)Observable
QuantLib::operator=(Observable &&)=deleteObservable
QuantLib::Observer::operator=(const Observer &)Observer
paysAtDefaultTime() constCreditDefaultSwap
paysAtDefaultTime_CreditDefaultSwapprotected
performCalculations() const overrideInstrumentprotectedvirtual
PricingModel enum nameCreditDefaultSwap
protectionEndDate() constCreditDefaultSwap
protectionStart_CreditDefaultSwapprotected
protectionStartDate() constCreditDefaultSwap
rebatesAccrual() constCreditDefaultSwap
recalculate()LazyObject
registerObserver(Observer *)Observableprivate
registerWith(const ext::shared_ptr< Observable > &)Observer
registerWithObservables(const ext::shared_ptr< Observer > &)Observer
result(const std::string &tag) constInstrument
runningSpread() constCreditDefaultSwap
runningSpread_CreditDefaultSwapprotected
QuantLib::set_type typedefObservableprivate
setPricingEngine(const ext::shared_ptr< PricingEngine > &)Instrument
settlesAccrual() constCreditDefaultSwap
settlesAccrual_CreditDefaultSwapprotected
setupArguments(PricingEngine::arguments *) const overrideCreditDefaultSwapvirtual
setupExpired() const overrideCreditDefaultSwapprotectedvirtual
side() constCreditDefaultSwap
side_CreditDefaultSwapprotected
tradeDate() constCreditDefaultSwap
tradeDate_CreditDefaultSwapprotected
unfreeze()LazyObject
unregisterObserver(Observer *)Observableprivate
unregisterWith(const ext::shared_ptr< Observable > &)Observer
unregisterWithAll()Observer
update() overrideLazyObjectvirtual
updating_LazyObjectprivate
upfront() constCreditDefaultSwap
upfront_CreditDefaultSwapprotected
upfrontBPS() constCreditDefaultSwap
upfrontBPS_CreditDefaultSwapmutableprotected
upfrontNPV() constCreditDefaultSwap
upfrontNPV_CreditDefaultSwapprotected
upfrontPayment() constCreditDefaultSwap
upfrontPayment_CreditDefaultSwapprotected
valuationDate() constInstrument
valuationDate_Instrumentmutableprotected
~LazyObject() override=defaultLazyObject
~Observable()=defaultObservablevirtual
~Observer()Observervirtual
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