QuantLib_BlackCdsOptionEngine man page

BlackCdsOptionEngine — Black-formula CDS-option engine.  


#include <ql/experimental/credit/blackcdsoptionengine.hpp>

Inherits CdsOption::engine.

Public Member Functions

BlackCdsOptionEngine (const Handle< DefaultProbabilityTermStructure > &, Real recoveryRate, const Handle< YieldTermStructure > &termStructure, const Handle< Quote > &vol)
void calculate () const
Handle< YieldTermStructure > termStructure ()
Handle< Quote > volatility ()

Additional Inherited Members

Detailed Description

Black-formula CDS-option engine.


The engine assumes that the exercise date equals the start date of the passed CDS.


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Referenced By

The man page BlackCdsOptionEngine(3) is an alias of QuantLib_BlackCdsOptionEngine(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib