BlackCdsOptionEngine Class Reference

Black-formula CDS-option engine. More...

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

Inheritance diagram for BlackCdsOptionEngine:

Public Member Functions

 BlackCdsOptionEngine (const Handle< DefaultProbabilityTermStructure > &, Real recoveryRate, const Handle< YieldTermStructure > &termStructure, const Handle< Quote > &vol)
 
void calculate () const
 
Handle< YieldTermStructuretermStructure ()
 
Handle< Quotevolatility ()
 

Additional Inherited Members

- Protected Attributes inherited from GenericEngine< CdsOption::arguments, CdsOption::results >
CdsOption::arguments arguments_
 
CdsOption::results results_
 

Detailed Description

Black-formula CDS-option engine.

Warning:
The engine assumes that the exercise date equals the start date of the passed CDS.