QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
CreditDefaultSwap Member List

This is the complete list of members for CreditDefaultSwap, including all inherited members.

additionalResults() const Instrument
additionalResults_ (defined in Instrument)Instrumentmutableprotected
calculate() const Instrumentprotectedvirtual
calculated_ (defined in LazyObject)LazyObjectmutableprotected
claim_ (defined in CreditDefaultSwap)CreditDefaultSwapprotected
conventionalSpread(Real conventionalRecovery, const Handle< YieldTermStructure > &discountCurve, const DayCounter &dayCounter) const CreditDefaultSwap
couponLegBPS() const CreditDefaultSwap
couponLegBPS_ (defined in CreditDefaultSwap)CreditDefaultSwapmutableprotected
couponLegNPV() const (defined in CreditDefaultSwap)CreditDefaultSwap
couponLegNPV_ (defined in CreditDefaultSwap)CreditDefaultSwapmutableprotected
coupons() const (defined in CreditDefaultSwap)CreditDefaultSwap
CreditDefaultSwap(Protection::Side side, Real notional, Rate spread, const Schedule &schedule, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, bool settlesAccrual=true, bool paysAtDefaultTime=true, const Date &protectionStart=Date(), const boost::shared_ptr< Claim > &=boost::shared_ptr< Claim >())CreditDefaultSwap
CreditDefaultSwap(Protection::Side side, Real notional, Rate upfront, Rate spread, const Schedule &schedule, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, bool settlesAccrual=true, bool paysAtDefaultTime=true, const Date &protectionStart=Date(), const Date &upfrontDate=Date(), const boost::shared_ptr< Claim > &=boost::shared_ptr< Claim >())CreditDefaultSwap
defaultLegNPV() const (defined in CreditDefaultSwap)CreditDefaultSwap
defaultLegNPV_ (defined in CreditDefaultSwap)CreditDefaultSwapmutableprotected
engine_ (defined in Instrument)Instrumentprotected
errorEstimate() const Instrument
errorEstimate_ (defined in Instrument)Instrumentmutableprotected
fairSpread() const CreditDefaultSwap
fairSpread_ (defined in CreditDefaultSwap)CreditDefaultSwapmutableprotected
fairUpfront() const CreditDefaultSwap
fairUpfront_ (defined in CreditDefaultSwap)CreditDefaultSwapmutableprotected
fetchResults(const PricingEngine::results *) const CreditDefaultSwapvirtual
freeze()LazyObject
frozen_ (defined in LazyObject)LazyObjectmutableprotected
impliedHazardRate(Real targetNPV, const Handle< YieldTermStructure > &discountCurve, const DayCounter &dayCounter, Real recoveryRate=0.4, Real accuracy=1.0e-6) const CreditDefaultSwap
Instrument() (defined in Instrument)Instrument
isExpired() const CreditDefaultSwapvirtual
LazyObject() (defined in LazyObject)LazyObject
leg_ (defined in CreditDefaultSwap)CreditDefaultSwapprotected
notifyObservers()Observable
notional() const (defined in CreditDefaultSwap)CreditDefaultSwap
notional_ (defined in CreditDefaultSwap)CreditDefaultSwapprotected
NPV() const Instrument
NPV_ (defined in Instrument)Instrumentmutableprotected
Observable() (defined in Observable)Observable
Observable(const Observable &) (defined in Observable)Observable
Observer() (defined in Observer)Observer
Observer(const Observer &) (defined in Observer)Observer
QuantLib::operator=(const Observable &)Observable
operator=(const Observer &) (defined in Observer)Observer
paysAtDefaultTime() const (defined in CreditDefaultSwap)CreditDefaultSwap
paysAtDefaultTime_ (defined in CreditDefaultSwap)CreditDefaultSwapprotected
performCalculations() const Instrumentprotectedvirtual
protectionEndDate() const CreditDefaultSwap
protectionStart_ (defined in CreditDefaultSwap)CreditDefaultSwapprotected
protectionStartDate() const CreditDefaultSwap
recalculate()LazyObject
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
registerWithObservables(const boost::shared_ptr< Observer > &)Observer
result(const std::string &tag) const Instrument
runningSpread() const (defined in CreditDefaultSwap)CreditDefaultSwap
runningSpread_ (defined in CreditDefaultSwap)CreditDefaultSwapprotected
setPricingEngine(const boost::shared_ptr< PricingEngine > &)Instrument
settlesAccrual() const (defined in CreditDefaultSwap)CreditDefaultSwap
settlesAccrual_ (defined in CreditDefaultSwap)CreditDefaultSwapprotected
setupArguments(PricingEngine::arguments *) const CreditDefaultSwapvirtual
setupExpired() const CreditDefaultSwapprotectedvirtual
side() const (defined in CreditDefaultSwap)CreditDefaultSwap
side_ (defined in CreditDefaultSwap)CreditDefaultSwapprotected
unfreeze()LazyObject
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
unregisterWithAll() (defined in Observer)Observer
update()LazyObjectvirtual
upfront() const (defined in CreditDefaultSwap)CreditDefaultSwap
upfront_ (defined in CreditDefaultSwap)CreditDefaultSwapprotected
upfrontBPS() const (defined in CreditDefaultSwap)CreditDefaultSwap
upfrontBPS_ (defined in CreditDefaultSwap)CreditDefaultSwapmutableprotected
upfrontNPV() const (defined in CreditDefaultSwap)CreditDefaultSwap
upfrontNPV_ (defined in CreditDefaultSwap)CreditDefaultSwapmutableprotected
upfrontPayment_ (defined in CreditDefaultSwap)CreditDefaultSwapprotected
valuationDate() const Instrument
valuationDate_ (defined in Instrument)Instrumentmutableprotected
~LazyObject() (defined in LazyObject)LazyObjectvirtual
~Observable() (defined in Observable)Observablevirtual
~Observer() (defined in Observer)Observervirtual