Collateralized Bond Obligation, Cash Flow CBO.
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#include <qle/instruments/cbo.hpp>
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std::string | name |
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double | faceAmount |
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double | icRatio |
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double | ocRatio |
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QuantLib::Leg | leg |
Collateralized Bond Obligation, Cash Flow CBO.
This class holds the term sheet information on a generic Cashflow CBO with arbitrary number of tranches.
The underlying bond basket is assumed to be in a single currency.
