Public Member Functions | |
AnalyticBlackRiskParticipationAgreementEngine (const std::string &baseCcy, const std::map< std::string, Handle< YieldTermStructure >> &discountCurves, const std::map< std::string, Handle< Quote >> &fxSpots, const Handle< DefaultProbabilityTermStructure > &defaultCurve, const Handle< Quote > &recoveryRate, const Handle< SwaptionVolatilityStructure > &volatility, const boost::shared_ptr< SwapIndex > &swapIndexBase, const bool matchUnderlyingTenor, const Real reversion, const bool alwaysRecomputeOptionRepresentation, const Size maxGapDays=Null< Size >(), const Size maxDiscretisationPoints=Null< Size >()) | |
Public Member Functions inherited from RiskParticipationAgreementBaseEngine | |
RiskParticipationAgreementBaseEngine (const std::string &baseCcy, const std::map< std::string, Handle< YieldTermStructure >> &discountCurves, const std::map< std::string, Handle< Quote >> &fxSpots, const Handle< DefaultProbabilityTermStructure > &defaultCurve, const Handle< Quote > &recoveryRate, const Size maxGapDays=Null< Size >(), const Size maxDiscretizsationPoints=Null< Size >()) | |
Additional Inherited Members | |
Static Public Member Functions inherited from RiskParticipationAgreementBaseEngine | |
static std::vector< Date > | buildDiscretisationGrid (const Date &referenceDate, const Date &protectionStart, const Date &protectionEnd, const std::vector< Leg > &underlying, const Size maxGapDays=Null< Size >(), const Size maxDiscretisationPoints=Null< Size >()) |
Protected Member Functions inherited from RiskParticipationAgreementBaseEngine | |
void | calculate () const override |
Protected Attributes inherited from RiskParticipationAgreementBaseEngine | |
std::string | baseCcy_ |
std::map< std::string, Handle< YieldTermStructure > > | discountCurves_ |
std::map< std::string, Handle< Quote > > | fxSpots_ |
Handle< DefaultProbabilityTermStructure > | defaultCurve_ |
Handle< Quote > | recoveryRate_ |
Size | maxGapDays_ |
Size | maxDiscretisationPoints_ |
std::vector< Date > | gridDates_ |
Date | referenceDate_ |
Real | effectiveRecoveryRate_ |