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QuantLib: a free/open-source library for quantitative finance
Reference manual - version 1.40
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This is the complete list of members for CreditDefaultSwap, including all inherited members.
| accrualRebate() const (defined in CreditDefaultSwap) | CreditDefaultSwap | |
| accrualRebate_ (defined in CreditDefaultSwap) | CreditDefaultSwap | protected |
| accrualRebateNPV() const (defined in CreditDefaultSwap) | CreditDefaultSwap | |
| accrualRebateNPV_ (defined in CreditDefaultSwap) | CreditDefaultSwap | mutableprotected |
| additionalResults() const | Instrument | |
| additionalResults_ (defined in Instrument) | Instrument | mutableprotected |
| alwaysForward_ (defined in LazyObject) | LazyObject | protected |
| alwaysForwardNotifications() | LazyObject | |
| calculate() const override | Instrument | protectedvirtual |
| calculated_ (defined in LazyObject) | LazyObject | mutableprotected |
| cashSettlementDays() const (defined in CreditDefaultSwap) | CreditDefaultSwap | |
| cashSettlementDays_ (defined in CreditDefaultSwap) | CreditDefaultSwap | protected |
| claim_ (defined in CreditDefaultSwap) | CreditDefaultSwap | protected |
| conventionalSpread(Real conventionalRecovery, const Handle< YieldTermStructure > &discountCurve, const DayCounter &dayCounter, PricingModel model=Midpoint) const | CreditDefaultSwap | |
| couponLegBPS() const | CreditDefaultSwap | |
| couponLegBPS_ (defined in CreditDefaultSwap) | CreditDefaultSwap | mutableprotected |
| couponLegNPV() const (defined in CreditDefaultSwap) | CreditDefaultSwap | |
| couponLegNPV_ (defined in CreditDefaultSwap) | CreditDefaultSwap | protected |
| coupons() const (defined in CreditDefaultSwap) | CreditDefaultSwap | |
| CreditDefaultSwap(Protection::Side side, Real notional, Rate spread, const Schedule &schedule, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, bool settlesAccrual=true, bool paysAtDefaultTime=true, const Date &protectionStart=Date(), ext::shared_ptr< Claim >=ext::shared_ptr< Claim >(), const DayCounter &lastPeriodDayCounter=DayCounter(), bool rebatesAccrual=true, const Date &tradeDate=Date(), Natural cashSettlementDays=3) | CreditDefaultSwap | |
| CreditDefaultSwap(Protection::Side side, Real notional, Rate upfront, Rate spread, const Schedule &schedule, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, bool settlesAccrual=true, bool paysAtDefaultTime=true, const Date &protectionStart=Date(), const Date &upfrontDate=Date(), ext::shared_ptr< Claim >=ext::shared_ptr< Claim >(), const DayCounter &lastPeriodDayCounter=DayCounter(), bool rebatesAccrual=true, const Date &tradeDate=Date(), Natural cashSettlementDays=3) | CreditDefaultSwap | |
| deepUpdate() | Observer | virtual |
| defaultLegNPV() const (defined in CreditDefaultSwap) | CreditDefaultSwap | |
| defaultLegNPV_ (defined in CreditDefaultSwap) | CreditDefaultSwap | mutableprotected |
| engine_ (defined in Instrument) | Instrument | protected |
| errorEstimate() const | Instrument | |
| errorEstimate_ (defined in Instrument) | Instrument | protected |
| fairSpread() const | CreditDefaultSwap | |
| fairSpread_ (defined in CreditDefaultSwap) | CreditDefaultSwap | mutableprotected |
| fairUpfront() const | CreditDefaultSwap | |
| fairUpfront_ (defined in CreditDefaultSwap) | CreditDefaultSwap | mutableprotected |
| fetchResults(const PricingEngine::results *) const override | CreditDefaultSwap | virtual |
| forwardFirstNotificationOnly() | LazyObject | |
| freeze() | LazyObject | |
| frozen_ (defined in LazyObject) | LazyObject | protected |
| impliedHazardRate(Real targetNPV, const Handle< YieldTermStructure > &discountCurve, const DayCounter &dayCounter, Real recoveryRate=0.4, Real accuracy=1.0e-8, PricingModel model=Midpoint) const | CreditDefaultSwap | |
| Instrument() (defined in Instrument) | Instrument | |
| isCalculated() const | LazyObject | |
| ISDA enum value (defined in CreditDefaultSwap) | CreditDefaultSwap | |
| isExpired() const override | CreditDefaultSwap | virtual |
| iterator typedef (defined in Observer) | Observer | |
| LazyObject() (defined in LazyObject) | LazyObject | |
| leg_ (defined in CreditDefaultSwap) | CreditDefaultSwap | protected |
| maturity_ (defined in CreditDefaultSwap) | CreditDefaultSwap | protected |
| Midpoint enum value (defined in CreditDefaultSwap) | CreditDefaultSwap | |
| notifyObservers() | Observable | |
| notional() const (defined in CreditDefaultSwap) | CreditDefaultSwap | |
| notional_ (defined in CreditDefaultSwap) | CreditDefaultSwap | protected |
| NPV() const | Instrument | |
| NPV_ (defined in Instrument) | Instrument | mutableprotected |
| Observable()=default (defined in Observable) | Observable | |
| Observable(const Observable &) (defined in Observable) | Observable | |
| Observable(Observable &&)=delete (defined in Observable) | Observable | |
| Observer()=default (defined in Observer) | Observer | |
| Observer(const Observer &) (defined in Observer) | Observer | |
| QuantLib::operator=(const Observable &) | Observable | |
| operator=(Observable &&)=delete (defined in Observable) | Observable | |
| operator=(const Observer &) (defined in Observer) | Observer | |
| paysAtDefaultTime() const (defined in CreditDefaultSwap) | CreditDefaultSwap | |
| paysAtDefaultTime_ (defined in CreditDefaultSwap) | CreditDefaultSwap | protected |
| performCalculations() const override | Instrument | protectedvirtual |
| PricingModel enum name (defined in CreditDefaultSwap) | CreditDefaultSwap | |
| protectionEndDate() const | CreditDefaultSwap | |
| protectionStart_ (defined in CreditDefaultSwap) | CreditDefaultSwap | protected |
| protectionStartDate() const | CreditDefaultSwap | |
| rebatesAccrual() const (defined in CreditDefaultSwap) | CreditDefaultSwap | |
| recalculate() | LazyObject | |
| registerWith(const ext::shared_ptr< Observable > &) (defined in Observer) | Observer | |
| registerWithObservables(const ext::shared_ptr< Observer > &) | Observer | |
| result(const std::string &tag) const | Instrument | |
| runningSpread() const (defined in CreditDefaultSwap) | CreditDefaultSwap | |
| runningSpread_ (defined in CreditDefaultSwap) | CreditDefaultSwap | protected |
| setPricingEngine(const ext::shared_ptr< PricingEngine > &) | Instrument | |
| settlesAccrual() const (defined in CreditDefaultSwap) | CreditDefaultSwap | |
| settlesAccrual_ (defined in CreditDefaultSwap) | CreditDefaultSwap | protected |
| setupArguments(PricingEngine::arguments *) const override | CreditDefaultSwap | virtual |
| setupExpired() const override | CreditDefaultSwap | protectedvirtual |
| side() const (defined in CreditDefaultSwap) | CreditDefaultSwap | |
| side_ (defined in CreditDefaultSwap) | CreditDefaultSwap | protected |
| tradeDate() const (defined in CreditDefaultSwap) | CreditDefaultSwap | |
| tradeDate_ (defined in CreditDefaultSwap) | CreditDefaultSwap | protected |
| unfreeze() | LazyObject | |
| unregisterWith(const ext::shared_ptr< Observable > &) (defined in Observer) | Observer | |
| unregisterWithAll() (defined in Observer) | Observer | |
| update() override | LazyObject | virtual |
| upfront() const (defined in CreditDefaultSwap) | CreditDefaultSwap | |
| upfront_ (defined in CreditDefaultSwap) | CreditDefaultSwap | protected |
| upfrontBPS() const (defined in CreditDefaultSwap) | CreditDefaultSwap | |
| upfrontBPS_ (defined in CreditDefaultSwap) | CreditDefaultSwap | mutableprotected |
| upfrontNPV() const (defined in CreditDefaultSwap) | CreditDefaultSwap | |
| upfrontNPV_ (defined in CreditDefaultSwap) | CreditDefaultSwap | protected |
| upfrontPayment() const (defined in CreditDefaultSwap) | CreditDefaultSwap | |
| upfrontPayment_ (defined in CreditDefaultSwap) | CreditDefaultSwap | protected |
| valuationDate() const | Instrument | |
| valuationDate_ (defined in Instrument) | Instrument | mutableprotected |
| ~LazyObject() override=default (defined in LazyObject) | LazyObject | |
| ~Observable()=default (defined in Observable) | Observable | virtual |
| ~Observer() (defined in Observer) | Observer | virtual |