IndexCreditDefaultSwap Class Reference

Inheritance diagram for IndexCreditDefaultSwap:

Classes
class	arguments
class	results
class	engine

Public Member Functions
	IndexCreditDefaultSwap (Protection::Side side, Real notional, std::vector< Real > underlyingNotionals, Rate spread, const Schedule &schedule, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, bool settlesAccrual=true, ProtectionPaymentTime protectionPaymentTime=atDefault, const Date &protectionStart=Date(), const QuantLib::ext::shared_ptr< Claim > &claim=QuantLib::ext::shared_ptr< Claim >(), const DayCounter &lastPeriodDayCounter=DayCounter(), bool rebatesAccrual=true, const Date &tradeDate=Date(), Natural cashSettlementDays=3)
	IndexCreditDefaultSwap (Protection::Side side, Real notional, std::vector< Real > underlyingNotionals, Rate upfront, Rate spread, const Schedule &schedule, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, bool settlesAccrual=true, ProtectionPaymentTime protectionPaymentTime=atDefault, const Date &protectionStart=Date(), const Date &upfrontDate=Date(), const QuantLib::ext::shared_ptr< Claim > &claim=QuantLib::ext::shared_ptr< Claim >(), const DayCounter &lastPeriodDayCounter=DayCounter(), bool rebatesAccrual=true, const Date &tradeDate=Date(), Natural cashSettlementDays=3)
Inspectors
const std::vector< Real > &	underlyingNotionals () const

Protected Member Functions
Additional interface
virtual QuantLib::ext::shared_ptr< PricingEngine >	buildPricingEngine (const Handle< DefaultProbabilityTermStructure > &p, Real r, const Handle< YieldTermStructure > &d, PricingModel model=Midpoint) const override

Instrument interface
std::vector< Real >	underlyingNotionals_
void	setupArguments (PricingEngine::arguments *) const override