QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
experimental
credit
blackcdsoptionengine.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 Stamm
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Copyright (C) 2009 Jose Aparicio
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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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/*! \file blackcdsoptionengine.hpp
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\brief Black credit default swap option engine
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*/
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#ifndef quantlib_black_cds_option_engine_hpp
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#define quantlib_black_cds_option_engine_hpp
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#include <
ql/experimental/credit/cdsoption.hpp
>
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namespace
QuantLib
{
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//! Black-formula CDS-option engine
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/*! \warning The engine assumes that the exercise date equals the
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start date of the passed CDS.
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*/
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class
BlackCdsOptionEngine
:
public
CdsOption::engine
{
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public
:
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BlackCdsOptionEngine
(
Handle<DefaultProbabilityTermStructure>
,
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Real
recoveryRate,
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Handle<YieldTermStructure>
termStructure
,
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Handle<Quote>
vol);
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void
calculate
()
const override
;
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Handle<YieldTermStructure>
termStructure
();
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Handle<Quote>
volatility
();
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private
:
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Handle<DefaultProbabilityTermStructure>
probability_
;
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Real
recoveryRate_
;
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Handle<YieldTermStructure>
termStructure_
;
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Handle<Quote>
volatility_
;
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};
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}
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#endif
cdsoption.hpp
CDS option.
QuantLib::BlackCdsOptionEngine
Black-formula CDS-option engine.
Definition:
blackcdsoptionengine.hpp:36
QuantLib::BlackCdsOptionEngine::volatility
Handle< Quote > volatility()
Definition:
blackcdsoptionengine.cpp:86
QuantLib::BlackCdsOptionEngine::volatility_
Handle< Quote > volatility_
Definition:
blackcdsoptionengine.hpp:49
QuantLib::BlackCdsOptionEngine::probability_
Handle< DefaultProbabilityTermStructure > probability_
Definition:
blackcdsoptionengine.hpp:46
QuantLib::BlackCdsOptionEngine::calculate
void calculate() const override
Definition:
blackcdsoptionengine.cpp:42
QuantLib::BlackCdsOptionEngine::recoveryRate_
Real recoveryRate_
Definition:
blackcdsoptionengine.hpp:47
QuantLib::BlackCdsOptionEngine::termStructure_
Handle< YieldTermStructure > termStructure_
Definition:
blackcdsoptionengine.hpp:48
QuantLib::BlackCdsOptionEngine::termStructure
Handle< YieldTermStructure > termStructure()
Definition:
blackcdsoptionengine.cpp:82
QuantLib::CdsOption::engine
base class for swaption engines
Definition:
cdsoption.hpp:108
QuantLib::Handle
Shared handle to an observable.
Definition:
handle.hpp:41
QuantLib::Real
QL_REAL Real
real number
Definition:
types.hpp:50
QuantLib
Definition:
any.hpp:35
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