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QuantLib_BlackCdsOptionEngine
Langue: en
Version: 377144 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::BlackCdsOptionEngine -Black-formula CDS-option engine.
SYNOPSIS
#include <ql/experimental/credit/blackcdsoptionengine.hpp>
Inherits QuantLib::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 ()
Detailed Description
Black-formula CDS-option engine.
Warning
- The engine assumes that the exercise date equals the start date of the passed CDS.
Author
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Contenus ©2006-2024 Benjamin Poulain
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