QuantLib_RiskyAssetSwapOption

Langue: en

Version: 375494 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::RiskyAssetSwapOption -

Option on risky asset swap

SYNOPSIS


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

Inherits QuantLib::Instrument.

Public Member Functions


RiskyAssetSwapOption (bool payer, const boost::shared_ptr< RiskyAssetSwap > &asw, const Date &expiry, Rate marketSpread, Volatility spreadVolatility)

Detailed Description

Option on risky asset swap

Author

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