couponLegNPV_ (3) - Linux Manuals
couponLegNPV_: Credit default swap.
NAME
QuantLib::CreditDefaultSwap - Credit default swap.
SYNOPSIS
#include <ql/instruments/creditdefaultswap.hpp>
Inherits QuantLib::Instrument.
Public Member Functions
Constructors
CreditDefaultSwap (Protection::Side side, Real notional, Rate spread, const Schedule &schedule, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, bool settlesAccrual=true, bool paysAtDefaultTime=true, const boost::shared_ptr< Claim > &=boost::shared_ptr< Claim >())
Instrument interface
bool isExpired () const
returns whether the instrument is still tradable.
void setupArguments (PricingEngine::arguments *) const
void fetchResults (const PricingEngine::results *) const
Inspectors
Protection::Side side () const
Real notional () const
Rate spread () const
bool settlesAccrual () const
bool paysAtDefaultTime () const
const Leg & coupons () const
Results
Rate fairSpread () const
Real couponLegBPS () const
Real couponLegNPV () const
Real defaultLegNPV () const
Rate impliedHazardRate (Real targetNPV, const Handle< YieldTermStructure > &discountCurve, const DayCounter &dayCounter, Real recoveryRate=0.4, Real accuracy=1.0e-6) const
Protected Member Functions
Instrument interface
Protected Attributes
Protection::Side side_
Real notional_
Rate spread_
bool settlesAccrual_
bool paysAtDefaultTime_
boost::shared_ptr< Claim > claim_
Leg leg_
Rate fairSpread_
Real couponLegBPS_
Real couponLegNPV_
Real defaultLegNPV_
Detailed Description
Credit default swap.
Note:
- This instrument currently assumes that the issuer did not default until today's date.
Warning
- if QL_TODAYS_PAYMENTS was defined (in userconfig.hpp or when calling ./configure; it is undefined by default) payments occurring at the settlement date of the swap are included in the NPV, and therefore affect the fair-spread calculation. This might not be what you want.
Examples:
Member Function Documentation
void setupArguments (PricingEngine::arguments *) const [virtual]
When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument.
void fetchResults (const PricingEngine::results * r) const [virtual]
When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument.
void setupExpired () const [protected, virtual]
This method must leave the instrument in a consistent state when the expiration condition is met.
Reimplemented from Instrument.
Author
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