Reference manual - version qle_version
CDS option helper. More...
#include <qle/models/cdsoptionhelper.hpp>
Inheritance diagram for CdsOptionHelper:Public Member Functions | |
| CdsOptionHelper (const Date &exerciseDate, const Handle< Quote > &volatility, const Protection::Side side, const Schedule &schedule, const BusinessDayConvention paymentConvention, const DayCounter &dayCounter, const Handle< DefaultProbabilityTermStructure > &probability, const Real recoveryRate, const Handle< YieldTermStructure > &termStructure, const Rate spread=Null< Rate >(), const Rate upfront=Null< Rate >(), const bool settlesAccrual=true, const CreditDefaultSwap::ProtectionPaymentTime proteectionPaymentTime=CreditDefaultSwap::ProtectionPaymentTime::atDefault, const Date protectionStart=Date(), const Date upfrontDate=Date(), const boost::shared_ptr< Claim > &claim=boost::shared_ptr< Claim >(), const BlackCalibrationHelper::CalibrationErrorType errorType=BlackCalibrationHelper::RelativePriceError) | |
| virtual void | addTimesTo (std::list< Time > ×) const override |
| virtual Real | modelValue () const override |
| virtual Real | blackPrice (Volatility volatility) const override |
| boost::shared_ptr< CreditDefaultSwap > | underlying () const |
| boost::shared_ptr< QuantExt::CdsOption > | option () const |
CDS option helper.
