Reference manual - version qle_version
Inheritance diagram for NumericalIntegrationIndexCdsOptionEngine:Public Member Functions | |
| 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. | |
| 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 >()) | |
| Public Member Functions inherited from IndexCdsOptionBaseEngine | |
| 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. | |
| 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 >()) | |
| const std::vector< QuantLib::Handle< QuantLib::DefaultProbabilityTermStructure > > & | probabilities () const |
| const std::vector< QuantLib::Real > & | recoveries () const |
| const QuantLib::Handle< QuantLib::YieldTermStructure > | discountSwapCurrency () const |
| const QuantLib::Handle< QuantLib::YieldTermStructure > | discountTradeCollateral () const |
| const QuantLib::Handle< QuantExt::CreditVolCurve > | volatility () const |
| void | calculate () const override |
Additional Inherited Members | |
| Protected Member Functions inherited from IndexCdsOptionBaseEngine | |
| void | registerWithMarket () |
| Register with market data. | |
| QuantLib::Real | fep () const |
| Calculate the discounted value of the front end protection. | |
| Protected Attributes inherited from IndexCdsOptionBaseEngine | |
| std::vector< QuantLib::Handle< QuantLib::DefaultProbabilityTermStructure > > | probabilities_ |
| Store inputs. | |
| std::vector< QuantLib::Real > | recoveries_ |
| QuantLib::Handle< QuantLib::YieldTermStructure > | discountSwapCurrency_ |
| QuantLib::Handle< QuantLib::YieldTermStructure > | discountTradeCollateral_ |
| QuantLib::Handle< QuantExt::CreditVolCurve > | volatility_ |
| QuantLib::Real | indexRecovery_ |
| Assumed index recovery used in the flat strike spread curve calculation if provided. | |
| std::vector< QuantLib::Real > | notionals_ |
| Store the underlying index CDS notional(s) during calculation. | |
Constructor taking a vector of default probability term structures bootstrapped from the index constituent spread curves and a vector of associated recovery rates.
