cdsoption.hpp File Reference

CDS option, removed requirements (rec must knock out, no upfront amount), that should be taken care of in pricing engines. More...

#include <ql/instruments/creditdefaultswap.hpp>
#include <ql/option.hpp>

Classes
class	CdsOption
	CDS option. More...
class	CdsOption::arguments
	Arguments for CDS-option calculation More...
class	CdsOption::results
class	CdsOption::engine
	base class for swaption engines More...

Detailed Description

CDS option, removed requirements (rec must knock out, no upfront amount), that should be taken care of in pricing engines.