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| IndexCdsOptionBaseEngine (const QuantLib::Handle< QuantLib::DefaultProbabilityTermStructure > &probability, QuantLib::Real recovery, const Handle< YieldTermStructure > &discountSwapCurrency, const Handle< YieldTermStructure > &discountTradeCollateral, const QuantLib::Handle< QuantExt::CreditVolCurve > &volatility) |
| Constructor taking a default probability term structure bootstrapped from the index spreads.
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| IndexCdsOptionBaseEngine (const std::vector< QuantLib::Handle< QuantLib::DefaultProbabilityTermStructure >> &probabilities, const std::vector< QuantLib::Real > &recoveries, const Handle< YieldTermStructure > &discountSwapCurrency, const Handle< YieldTermStructure > &discountTradeCollateral, const QuantLib::Handle< QuantExt::CreditVolCurve > &volatility, QuantLib::Real indexRecovery=QuantLib::Null< QuantLib::Real >()) |
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const std::vector< QuantLib::Handle< QuantLib::DefaultProbabilityTermStructure > > & | probabilities () const |
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const std::vector< QuantLib::Real > & | recoveries () const |
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const QuantLib::Handle< QuantLib::YieldTermStructure > | discountSwapCurrency () const |
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const QuantLib::Handle< QuantLib::YieldTermStructure > | discountTradeCollateral () const |
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const QuantLib::Handle< QuantExt::CreditVolCurve > | volatility () const |
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std::vector< QuantLib::Handle< QuantLib::DefaultProbabilityTermStructure > > | probabilities_ |
| Store inputs.
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std::vector< QuantLib::Real > | recoveries_ |
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QuantLib::Handle< QuantLib::YieldTermStructure > | discountSwapCurrency_ |
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QuantLib::Handle< QuantLib::YieldTermStructure > | discountTradeCollateral_ |
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QuantLib::Handle< QuantExt::CreditVolCurve > | volatility_ |
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QuantLib::Real | indexRecovery_ |
| Assumed index recovery used in the flat strike spread curve calculation if provided.
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std::vector< QuantLib::Real > | notionals_ |
| Store the underlying index CDS notional(s) during calculation.
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void | calculate () const override |
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virtual void | doCalc () const =0 |
| Engine specific calculation.
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void | registerWithMarket () |
| Register with market data.
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QuantLib::Real | fep () const |
| Calculate the discounted value of the front end protection.
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