Reference manual - version qle_version
Inheritance diagram for CBO:Classes | |
| class | arguments |
| class | engine |
| CBO base engine. More... | |
| class | results |
Public Member Functions | |
Constructors | |
| CBO (const boost::shared_ptr< BondBasket > &basket, const QuantLib::Schedule &schedule, Rate seniorFee, const DayCounter &feeDayCounter, const std::vector< Tranche > &tranches, Rate subordinatedFee, Rate equityKicker, const Currency &ccy, const std::string &investedTrancheName) | |
Inspectors | |
| boost::shared_ptr< BondBasket > | basket () const |
Instrument interface | |
| bool | isExpired () const override |
| void | setupArguments (PricingEngine::arguments *) const override |
| void | fetchResults (const PricingEngine::results *) const override |
Results | |
| Real | basketValue () const |
| std::vector< Real > | trancheValue () const |
| Rate | feeValue () const |
| Rate | subfeeValue () const |
| Real | basketValueStd () const |
| std::vector< Real > | trancheValueStd () const |
| Rate | feeValueStd () const |
| Rate | subfeeValueStd () const |
| const std::vector< CashflowTable > & | trancheCashflows () const |
| CBO | ( | const boost::shared_ptr< BondBasket > & | basket, |
| const QuantLib::Schedule & | schedule, | ||
| Rate | seniorFee, | ||
| const DayCounter & | feeDayCounter, | ||
| const std::vector< Tranche > & | tranches, | ||
| Rate | subordinatedFee, | ||
| Rate | equityKicker, | ||
| const Currency & | ccy, | ||
| const std::string & | investedTrancheName | ||
| ) |
| basket | Underlying bond basket |
| schedule | CBO schedule |
| seniorFee | Senior fee rate to be paid before any cash flow goes to the tranches |
| feeDayCounter | Fee day counter |
| tranches | Tranche description |
| subordinatedFee | Subordinated fee rate to be paid late in the waterfal |
| equityKicker | Equity kicker |
| ccy | CBOs currency |
| investedTrancheName | invested trancheName |
