MidPointCdsEngineMultiState Class Reference

#include <qle/pricingengines/midpointcdsenginemultistate.hpp>

Inheritance diagram for MidPointCdsEngineMultiState:

Public Member Functions
	MidPointCdsEngineMultiState (const std::vector< Handle< DefaultProbabilityTermStructure > > &defaultCurves, const std::vector< Handle< Quote > > recoveryRates, const Handle< YieldTermStructure > &discountCurve, const Size mainResultState, const QuantLib::ext::optional< bool > includeSettlementDateFlows=QuantLib::ext::nullopt)
void	calculate () const
Handle< YieldTermStructure >	discountCurve () const
const std::vector< Handle< DefaultProbabilityTermStructure > > &	defaultCurves () const
const std::vector< Handle< Quote > > &	recoveryRates () const

Detailed Description

The engine takes a vector of default curves and recovery rates. For the given main result state it will produce the same results as the MidPointCdsEngine. In addition a result with label "stateNPV" is produced containing the NPV for each given default curve / recovery rate and an additional entry with a default value w.r.t. the last given recovery rate in the vector.