QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
experimental
credit
integralntdengine.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2008 Roland Lichters
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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#ifndef quantlib_integral_ntd_engine_hpp
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#define quantlib_integral_ntd_engine_hpp
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#include <
ql/experimental/credit/nthtodefault.hpp
>
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#include <utility>
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namespace
QuantLib
{
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class
YieldTermStructure;
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// Varying recoveries allowed, allow now for heterogeneous notionals
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class
IntegralNtdEngine
:
public
NthToDefault::engine
{
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public
:
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IntegralNtdEngine
(
const
Period
& integrationStep,
Handle<YieldTermStructure>
discountCurve)
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:
discountCurve_
(
std
::move(discountCurve)),
integrationStepSize_
(integrationStep) {}
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void
calculate
()
const override
;
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protected
:
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Handle<YieldTermStructure>
discountCurve_
;
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Period
integrationStepSize_
;
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};
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}
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#endif
QuantLib::Handle
Shared handle to an observable.
Definition:
handle.hpp:41
QuantLib::IntegralNtdEngine
Definition:
integralntdengine.hpp:31
QuantLib::IntegralNtdEngine::IntegralNtdEngine
IntegralNtdEngine(const Period &integrationStep, Handle< YieldTermStructure > discountCurve)
Definition:
integralntdengine.hpp:33
QuantLib::IntegralNtdEngine::discountCurve_
Handle< YieldTermStructure > discountCurve_
Definition:
integralntdengine.hpp:38
QuantLib::IntegralNtdEngine::calculate
void calculate() const override
Definition:
integralntdengine.cpp:28
QuantLib::IntegralNtdEngine::integrationStepSize_
Period integrationStepSize_
Definition:
integralntdengine.hpp:39
QuantLib::NthToDefault::engine
NTD base engine.
Definition:
nthtodefault.hpp:167
QuantLib::Period
Definition:
period.hpp:44
QuantLib
Definition:
any.hpp:35
std
STL namespace.
nthtodefault.hpp
N-th to default swap.
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