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QuantLib_BlackCdsOptionEngine

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

Generated automatically by Doxygen for QuantLib from the source code.