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< YieldTermStructure > | termStructure () |
Handle< Quote > | volatility () |
Detailed Description
Black-formula CDS-option engine.
- Warning:
- The engine assumes that the exercise date equals the start date of the passed CDS.