RiskParticipationAgreementBaseEngine Class Reference

Inheritance diagram for RiskParticipationAgreementBaseEngine:

Public Types
enum class	OptionExpiryPosition { Mid , Left }

Public Member Functions

RiskParticipationAgreementBaseEngine (const std::string &baseCcy, const std::map< std::string, Handle< YieldTermStructure > > &discountCurves, const std::map< std::string, Handle< Quote > > &fxSpots, const Handle< DefaultProbabilityTermStructure > &defaultCurve, const Handle< Quote > &recoveryRate, const Size maxGapDays=Null< Size >(), const Size maxDiscretizsationPoints=Null< Size >(), const OptionExpiryPosition optionExpiryPosition=OptionExpiryPosition::Mid)

Static Public Member Functions
static std::vector< Date >	buildDiscretisationGrid (const Date &referenceDate, const Date &protectionStart, const Date &protectionEnd, const std::vector< Leg > &underlying, const Size maxGapDays=Null< Size >(), const Size maxDiscretisationPoints=Null< Size >())

Protected Member Functions
virtual Real	protectionLegNpv () const =0
void	calculate () const override

Protected Attributes
std::string	baseCcy_
std::map< std::string, Handle< YieldTermStructure > >	discountCurves_
std::map< std::string, Handle< Quote > >	fxSpots_
Handle< DefaultProbabilityTermStructure >	defaultCurve_
Handle< Quote >	recoveryRate_
Size	maxGapDays_
Size	maxDiscretisationPoints_
OptionExpiryPosition	optionExpiryPosition_
std::vector< Date >	gridDates_
Date	referenceDate_
Real	effectiveRecoveryRate_