IndexCdsOption::arguments Class Reference

Arguments for index CDS option calculation More...

#include <qle/instruments/indexcdsoption.hpp>

Inheritance diagram for IndexCdsOption::arguments:

Public Member Functions
void	validate () const override

Public Attributes
QuantLib::ext::shared_ptr< IndexCreditDefaultSwap >	swap
QuantLib::Real	strike
CdsOption::StrikeType	strikeType
Settlement::Type	settlementType
QuantLib::Real	tradeDateNtl
QuantLib::Real	realisedFep
QuantLib::Period	indexTerm
Public Attributes inherited from IndexCreditDefaultSwap::arguments
std::vector< Real >	underlyingNotionals

Detailed Description

Arguments for index CDS option calculation