Arguments for CDS-option calculation More...
#include <cdsoption.hpp>
Inheritance diagram for CdsOption::arguments:
Collaboration diagram for CdsOption::arguments:
Public Member Functions | |
| arguments ()=default | |
| void | validate () const override |
| Public Member Functions inherited from CreditDefaultSwap::arguments | |
| arguments () | |
| void | validate () const override |
| Public Member Functions inherited from PricingEngine::arguments | |
| virtual | ~arguments ()=default |
| virtual void | validate () const =0 |
| Public Member Functions inherited from Option::arguments | |
| arguments ()=default | |
| void | validate () const override |
Public Attributes | |
| ext::shared_ptr< CreditDefaultSwap > | swap |
| bool | knocksOut |
| Public Attributes inherited from CreditDefaultSwap::arguments | |
| Protection::Side | side |
| Real | notional |
| ext::optional< Rate > | upfront |
| Rate | spread |
| Leg | leg |
| ext::shared_ptr< SimpleCashFlow > | upfrontPayment |
| ext::shared_ptr< SimpleCashFlow > | accrualRebate |
| bool | settlesAccrual |
| bool | paysAtDefaultTime |
| ext::shared_ptr< Claim > | claim |
| Date | protectionStart |
| Date | maturity |
| Public Attributes inherited from Option::arguments | |
| ext::shared_ptr< Payoff > | payoff |
| ext::shared_ptr< Exercise > | exercise |
Detailed Description
Arguments for CDS-option calculation
Definition at line 89 of file cdsoption.hpp.
Constructor & Destructor Documentation
◆ arguments()
|
default |
Member Function Documentation
◆ validate()
|
overridevirtual |
Implements PricingEngine::arguments.
Definition at line 143 of file cdsoption.cpp.
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Member Data Documentation
◆ swap
| ext::shared_ptr<CreditDefaultSwap> swap |
Definition at line 94 of file cdsoption.hpp.
◆ knocksOut
| bool knocksOut |
Definition at line 95 of file cdsoption.hpp.