Loading [MathJax]/extensions/tex2jax.js
QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
•All Classes Namespaces Files Functions Variables Typedefs Enumerations Enumerator Friends Macros Modules Pages
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
Generated by Doxygen 1.9.5