QuantLib: a free/open-source library for quantitative finance
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blackcdsoptionengine.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2008 Roland Stamm
5 Copyright (C) 2009 Jose Aparicio
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21/*! \file blackcdsoptionengine.hpp
22 \brief Black credit default swap option engine
23*/
24
25#ifndef quantlib_black_cds_option_engine_hpp
26#define quantlib_black_cds_option_engine_hpp
27
29
30namespace QuantLib {
31
32 //! Black-formula CDS-option engine
33 /*! \warning The engine assumes that the exercise date equals the
34 start date of the passed CDS.
35 */
37 public:
39 Real recoveryRate,
41 Handle<Quote> vol);
42 void calculate() const override;
45 private:
50 };
51
52}
53
54#endif
CDS option.
Black-formula CDS-option engine.
Handle< DefaultProbabilityTermStructure > probability_
Handle< YieldTermStructure > termStructure_
Handle< YieldTermStructure > termStructure()
base class for swaption engines
Definition: cdsoption.hpp:108
Shared handle to an observable.
Definition: handle.hpp:41
QL_REAL Real
real number
Definition: types.hpp:50
Definition: any.hpp:35