BlackCdsOptionEngine Class Reference

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

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

Inheritance diagram for BlackCdsOptionEngine:

List of all members.

Public Member Functions

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


Detailed Description

Black-formula CDS-option engine.

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