Logo
Reference manual - version qle_version
IndexCdsOption Member List

This is the complete list of members for IndexCdsOption, including all inherited members.

atmRate() const (defined in IndexCdsOption)IndexCdsOption
impliedVolatility(QuantLib::Real price, const QuantLib::Handle< QuantLib::YieldTermStructure > &termStructureSwapCurrency, const QuantLib::Handle< QuantLib::YieldTermStructure > &termStructureTradeCollateral, const QuantLib::Handle< QuantLib::DefaultProbabilityTermStructure > &, QuantLib::Real recoveryRate, QuantLib::Real accuracy=1.e-4, QuantLib::Size maxEvaluations=100, QuantLib::Volatility minVol=1.0e-7, QuantLib::Volatility maxVol=4.0) const (defined in IndexCdsOption)IndexCdsOption
IndexCdsOption(const boost::shared_ptr< IndexCreditDefaultSwap > &swap, const boost::shared_ptr< QuantLib::Exercise > &exercise, QuantLib::Real strike, CdsOption::StrikeType strikeType_=CdsOption::Spread, Settlement::Type settlementType=Settlement::Cash, QuantLib::Real tradeDateNtl=QuantLib::Null< QuantLib::Real >(), QuantLib::Real realisedFep=QuantLib::Null< QuantLib::Real >(), bool knocksOut=false, const QuantLib::Period &indexTerm=5 *Years) (defined in IndexCdsOption)IndexCdsOption
isExpired() const override (defined in IndexCdsOption)IndexCdsOption
riskyAnnuity() const (defined in IndexCdsOption)IndexCdsOption
setupArguments(QuantLib::PricingEngine::arguments *args) const override (defined in IndexCdsOption)IndexCdsOption
underlyingSwap() const (defined in IndexCdsOption)IndexCdsOption