A free/open-source library for quantitative finance
CdsOption::arguments Class Reference
Arguments for CDS-option calculation More...
#include <ql/experimental/credit/cdsoption.hpp>
Inheritance diagram for CdsOption::arguments:
Public Member Functions | |
| void | validate () const |
 Public Member Functions inherited from CreditDefaultSwap::arguments | |
| void | validate () const |
| Public Member Functions inherited from PricingEngine::arguments | |
| virtual void | validate () const =0 |
| Public Member Functions inherited from Option::arguments | |
| void | validate () const |
Public Attributes | |
|
boost::shared_ptr < CreditDefaultSwap > | swap |
| bool | knocksOut |
| Public Attributes inherited from CreditDefaultSwap::arguments | |
| Protection::Side | side |
| Real | notional |
| boost::optional< Rate > | upfront |
| Rate | spread |
| Leg | leg |
| boost::shared_ptr< CashFlow > | upfrontPayment |
| bool | settlesAccrual |
| bool | paysAtDefaultTime |
| boost::shared_ptr< Claim > | claim |
| Date | protectionStart |
| Public Attributes inherited from Option::arguments | |
| boost::shared_ptr< Payoff > | payoff |
| boost::shared_ptr< Exercise > | exercise |
Detailed Description
Arguments for CDS-option calculation