Black-formula CDS-option engine. More...
#include <ql/experimental/credit/blackcdsoptionengine.hpp>
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 () |
Additional Inherited Members | |
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CdsOption::arguments | arguments_ |
CdsOption::results | results_ |
Black-formula CDS-option engine.