Classes | |
struct | arguments |
Public Types | |
enum class | LegType { IndependentPayments , ContingentPayments , DefaultPayments , RecoveryPayments } |
using | results = QuantLib::Instrument::results |
using | engine = QuantLib::GenericEngine< arguments, results > |
Public Member Functions | |
CreditLinkedSwap (const std::vector< Leg > &legs, const std::vector< bool > &legPayers, const std::vector< LegType > &legTypes, const bool settlesAccrual, const Real fixedRecoveryRate, const QuantExt::CreditDefaultSwap::ProtectionPaymentTime &defaultPaymentTime, const Currency ¤cy) | |
bool | isExpired () const override |
void | setupArguments (QuantLib::PricingEngine::arguments *) const override |
Date | maturity () const |