Tranche Struct Reference

Collateralized Bond Obligation, Cash Flow CBO. More...

#include <qle/instruments/cbo.hpp>

Public Attributes
std::string	name
double	faceAmount
double	icRatio
double	ocRatio
QuantLib::Leg	leg

Detailed Description

Collateralized Bond Obligation, Cash Flow CBO.

This class holds the term sheet information on a generic Cashflow CBO with arbitrary number of tranches.

The underlying bond basket is assumed to be in a single currency.