Reference manual - version qle_version
QuantExt
DiscountingCreditLinkedSwapEngine
Public Member Functions
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List of all members
DiscountingCreditLinkedSwapEngine Class Reference
Inheritance diagram for DiscountingCreditLinkedSwapEngine:
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Public Member Functions
DiscountingCreditLinkedSwapEngine
(const Handle< YieldTermStructure > &irCurve, const Handle< DefaultProbabilityTermStructure > &creditCurve, const Handle< Quote > &marketRecovery, const Size timeStepsPerYear, const bool generateAdditionalResults)
void
calculate
() const override
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