QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Arguments for CDS-option calculation More...
#include <cdsoption.hpp>
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< CreditDefaultSwap > | swap |
bool | knocksOut |
Public Attributes inherited from CreditDefaultSwap::arguments | |
Protection::Side | side |
Real | notional |
ext::optional< Rate > | upfront |
Rate | spread |
Leg | leg |
ext::shared_ptr< SimpleCashFlow > | upfrontPayment |
ext::shared_ptr< SimpleCashFlow > | accrualRebate |
bool | settlesAccrual |
bool | paysAtDefaultTime |
ext::shared_ptr< Claim > | claim |
Date | protectionStart |
Date | maturity |
Public Attributes inherited from Option::arguments | |
ext::shared_ptr< Payoff > | payoff |
ext::shared_ptr< Exercise > | exercise |
Arguments for CDS-option calculation
Definition at line 89 of file cdsoption.hpp.
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default |
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overridevirtual |
Implements PricingEngine::arguments.
Definition at line 143 of file cdsoption.cpp.
ext::shared_ptr<CreditDefaultSwap> swap |
Definition at line 94 of file cdsoption.hpp.
bool knocksOut |
Definition at line 95 of file cdsoption.hpp.