AnalyticLgmCdsOptionEngine Class Reference

#include <qle/pricingengines/analyticlgmcdsoptionengine.hpp>

Inheritance diagram for AnalyticLgmCdsOptionEngine:

Public Member Functions
	AnalyticLgmCdsOptionEngine (const QuantLib::ext::shared_ptr< CrossAssetModel > &model, const Size index, const Size ccy, const Real recoveryRate, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >())
void	calculate () const override

Detailed Description

analytic lgm cds option engine

Reference: Modern Derivatives Pricing and Credit Exposure Analysis by Lichters, Stamm and Gallagher, 15.1