QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Public Attributes | List of all members
CdsOption::arguments Class Reference

Arguments for CDS-option calculation More...

#include <cdsoption.hpp>

+ Inheritance diagram for CdsOption::arguments:
+ Collaboration diagram for CdsOption::arguments:

Public Member Functions

 arguments ()=default
 
void validate () const override
 
- Public Member Functions inherited from CreditDefaultSwap::arguments
 arguments ()
 
void validate () const override
 
- Public Member Functions inherited from PricingEngine::arguments
virtual ~arguments ()=default
 
virtual void validate () const =0
 
- Public Member Functions inherited from Option::arguments
 arguments ()=default
 
void validate () const override
 

Public Attributes

ext::shared_ptr< CreditDefaultSwapswap
 
bool knocksOut
 
- Public Attributes inherited from CreditDefaultSwap::arguments
Protection::Side side
 
Real notional
 
ext::optional< Rateupfront
 
Rate spread
 
Leg leg
 
ext::shared_ptr< SimpleCashFlowupfrontPayment
 
ext::shared_ptr< SimpleCashFlowaccrualRebate
 
bool settlesAccrual
 
bool paysAtDefaultTime
 
ext::shared_ptr< Claimclaim
 
Date protectionStart
 
Date maturity
 
- Public Attributes inherited from Option::arguments
ext::shared_ptr< Payoffpayoff
 
ext::shared_ptr< Exerciseexercise
 

Detailed Description

Arguments for CDS-option calculation

Definition at line 89 of file cdsoption.hpp.

Constructor & Destructor Documentation

◆ arguments()

arguments ( )
default

Member Function Documentation

◆ validate()

void validate ( ) const
overridevirtual

Implements PricingEngine::arguments.

Definition at line 143 of file cdsoption.cpp.

+ Here is the call graph for this function:

Member Data Documentation

◆ swap

ext::shared_ptr<CreditDefaultSwap> swap

Definition at line 94 of file cdsoption.hpp.

◆ knocksOut

bool knocksOut

Definition at line 95 of file cdsoption.hpp.