Arguments for index CDS option calculation More...
#include <qle/instruments/indexcdsoption.hpp>
Public Member Functions | |
void | validate () const override |
Public Attributes | |
boost::shared_ptr< IndexCreditDefaultSwap > | swap |
QuantLib::Real | strike |
CdsOption::StrikeType | strikeType |
Settlement::Type | settlementType |
QuantLib::Real | tradeDateNtl |
QuantLib::Real | realisedFep |
bool | knocksOut |
QuantLib::Period | indexTerm |
Public Attributes inherited from IndexCreditDefaultSwap::arguments | |
std::vector< Real > | underlyingNotionals |
Arguments for index CDS option calculation