CBO Class Reference

Inheritance diagram for CBO:

Classes
class	arguments
class	results
class	engine
	CBO base engine. More...

Public Member Functions
Constructors
	CBO (const QuantLib::ext::shared_ptr< BondBasket > &basket, const QuantLib::Schedule &schedule, Rate seniorFee, const DayCounter &feeDayCounter, const std::vector< Tranche > &tranches, Rate subordinatedFee, Rate equityKicker, const Currency &ccy, const std::string &investedTrancheName)
Inspectors
QuantLib::ext::shared_ptr< BondBasket >	basket () const
Instrument interface
bool	isExpired () const override
void	setupArguments (PricingEngine::arguments *) const override
void	fetchResults (const PricingEngine::results *) const override

Results
Real	basketValue () const
std::vector< Real >	trancheValue () const
Rate	feeValue () const
Rate	subfeeValue () const
Real	basketValueStd () const
std::vector< Real >	trancheValueStd () const
Rate	feeValueStd () const
Rate	subfeeValueStd () const
const std::vector< CashflowTable > &	trancheCashflows () const

Constructor & Destructor Documentation

CBO()

CBO	(	const QuantLib::ext::shared_ptr< BondBasket > &	basket,
		const QuantLib::Schedule &	schedule,
		Rate	seniorFee,
		const DayCounter &	feeDayCounter,
		const std::vector< Tranche > &	tranches,
		Rate	subordinatedFee,
		Rate	equityKicker,
		const Currency &	ccy,
		const std::string &	investedTrancheName )

Parameters

basket	Underlying bond basket
schedule	CBO schedule
seniorFee	Senior fee rate to be paid before any cash flow goes to the tranches
feeDayCounter	Fee day counter
tranches	Tranche description
subordinatedFee	Subordinated fee rate to be paid late in the waterfal
equityKicker	Equity kicker
ccy	CBOs currency
investedTrancheName	invested trancheName