QuantLib_RiskyAssetSwap man page

RiskyAssetSwap — Risky asset-swap instrument.

Synopsis

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

Inherits Instrument.

Public Member Functions

RiskyAssetSwap (bool fixedPayer, Real nominal, const Schedule &fixedSchedule, const Schedule &floatSchedule, const DayCounter &fixedDayCounter, const DayCounter &floatDayCounter, Rate spread, Rate recoveryRate_, const Handle< YieldTermStructure > &yieldTS, const Handle< DefaultProbabilityTermStructure > &defaultTS, Rate coupon=Null< Rate >())

Real fairSpread ()

Real floatAnnuity () const

Real nominal ()

Rate spread ()

bool fixedPayer ()

Additional Inherited Members

Detailed Description

Risky asset-swap instrument.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

fixedPayer(3), floatAnnuity(3) and RiskyAssetSwap(3) are aliases of QuantLib_RiskyAssetSwap(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib