#include <qle/pricingengines/analyticlgmcdsoptionengine.hpp>
Public Member Functions | |
AnalyticLgmCdsOptionEngine (const boost::shared_ptr< CrossAssetModel > &model, const Size index, const Size ccy, const Real recoveryRate, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) | |
void | calculate () const override |
analytic lgm cds option engine
Reference: Modern Derivatives Pricing and Credit Exposure Analysis by Lichters, Stamm and Gallagher, 15.1