Reference manual - version qle_version
Public Member Functions | |
| IndexCdsOptionBaseEngine (const QuantLib::Handle< QuantLib::DefaultProbabilityTermStructure > &probability, QuantLib::Real recovery, const Handle< YieldTermStructure > &discountSwapCurrency, const Handle< YieldTermStructure > &discountTradeCollateral, const QuantLib::Handle< QuantExt::CreditVolCurve > &volatility, const bool generateAdditionalResults=true) | |
| Constructor taking a default probability term structure bootstrapped from the index spreads. | |
| IndexCdsOptionBaseEngine (const std::vector< QuantLib::Handle< QuantLib::DefaultProbabilityTermStructure > > &probabilities, const std::vector< QuantLib::Real > &recoveries, const Handle< YieldTermStructure > &discountSwapCurrency, const Handle< YieldTermStructure > &discountTradeCollateral, const QuantLib::Handle< QuantExt::CreditVolCurve > &volatility, QuantLib::Real indexRecovery=QuantLib::Null< QuantLib::Real >(), const bool generateAdditionalResults=true) | |
Inspectors | |
| const std::vector< QuantLib::Handle< QuantLib::DefaultProbabilityTermStructure > > & | probabilities () const |
| const std::vector< QuantLib::Real > & | recoveries () const |
| const QuantLib::Handle< QuantLib::YieldTermStructure > | discountSwapCurrency () const |
| const QuantLib::Handle< QuantLib::YieldTermStructure > | discountTradeCollateral () const |
| const QuantLib::Handle< QuantExt::CreditVolCurve > | volatility () const |
Instrument interface | |
| std::vector< QuantLib::Handle< QuantLib::DefaultProbabilityTermStructure > > | probabilities_ |
| Store inputs. | |
| std::vector< QuantLib::Real > | recoveries_ |
| QuantLib::Handle< QuantLib::YieldTermStructure > | discountSwapCurrency_ |
| QuantLib::Handle< QuantLib::YieldTermStructure > | discountTradeCollateral_ |
| QuantLib::Handle< QuantExt::CreditVolCurve > | volatility_ |
| QuantLib::Real | indexRecovery_ |
| Assumed index recovery used in the flat strike spread curve calculation if provided. | |
| bool | generateAdditionalResults_ |
| std::vector< QuantLib::Real > | notionals_ |
| Store the underlying index CDS notional(s) during calculation. | |
| QuantLib::Real | unrealizedFep_ |
| QuantLib::Real | realizedFep_ |
| QuantLib::Real | totalFep_ |
| void | calculate () const override |
| virtual void | doCalc () const =0 |
| Engine specific calculation. | |
| void | registerWithMarket () |
| Register with market data. | |
| QuantLib::Real | fep () const |
| Calculate the discounted value of the front end protection. | |
| QuantLib::Real | unrealizedFep () const |
| QuantLib::Real | realizedFep () const |
| IndexCdsOptionBaseEngine | ( | const std::vector< QuantLib::Handle< QuantLib::DefaultProbabilityTermStructure > > & | probabilities, |
| const std::vector< QuantLib::Real > & | recoveries, | ||
| const Handle< YieldTermStructure > & | discountSwapCurrency, | ||
| const Handle< YieldTermStructure > & | discountTradeCollateral, | ||
| const QuantLib::Handle< QuantExt::CreditVolCurve > & | volatility, | ||
| QuantLib::Real | indexRecovery = QuantLib::Null< QuantLib::Real >(), | ||
| const bool | generateAdditionalResults = true ) |
Constructor taking a vector of default probability term structures bootstrapped from the index constituent spread curves and a vector of associated recovery rates.
