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QuantLib_RiskyAssetSwap
Langue: en
Version: 377187 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::RiskyAssetSwap -Risky asset-swap instrument.
SYNOPSIS
#include <ql/experimental/credit/riskyassetswap.hpp>
Inherits QuantLib::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 ()
Detailed Description
Risky asset-swap instrument.
Author
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Contenus ©2006-2024 Benjamin Poulain
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