fixedPayer (3) - Linux Manuals

fixedPayer: Risky asset-swap instrument.

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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