QuantLib_BlackCdsOptionEngine man page

BlackCdsOptionEngine — Black-formula CDS-option engine.

Synopsis

#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.

Warning

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

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

BlackCdsOptionEngine(3) is an alias of QuantLib_BlackCdsOptionEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib