CreditDefaultSwap Member List

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

accrualRebate_ (defined in CreditDefaultSwap) | CreditDefaultSwap | protected
accrualRebateNPV() const (defined in CreditDefaultSwap) | CreditDefaultSwap |
accrualRebateNPV_ (defined in CreditDefaultSwap) | CreditDefaultSwap | mutable protected
additionalResults() const | Instrument |
additionalResults_ (defined in Instrument) | Instrument | mutable protected
alwaysForward_ (defined in LazyObject) | LazyObject | protected
alwaysForwardNotifications() | LazyObject |
calculate() const | Instrument | protected virtual
calculated_ (defined in LazyObject) | LazyObject | mutable protected
claim_ (defined in CreditDefaultSwap) | CreditDefaultSwap | protected
conventionalSpread(Real conventionalRecovery, const Handle< YieldTermStructure > &discountCurve, const DayCounter &dayCounter, PricingModel model=Midpoint) const | CreditDefaultSwap |
couponLegBPS() const | CreditDefaultSwap |
couponLegBPS_ (defined in CreditDefaultSwap) | CreditDefaultSwap | mutable protected
couponLegNPV() const (defined in CreditDefaultSwap) | CreditDefaultSwap |
couponLegNPV_ (defined in CreditDefaultSwap) | CreditDefaultSwap | protected
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 ext::shared_ptr< Claim > &=ext::shared_ptr< Claim >(), const DayCounter &lastPeriodDayCounter=DayCounter(), bool rebatesAccrual=true)

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 ext::shared_ptr< Claim > &=ext::shared_ptr< Claim >(), const DayCounter &lastPeriodDayCounter=DayCounter(), bool rebatesAccrual=true)

CreditDefaultSwap

deepUpdate() | Observer | virtual
defaultLegNPV() const (defined in CreditDefaultSwap) | CreditDefaultSwap |
defaultLegNPV_ (defined in CreditDefaultSwap) | CreditDefaultSwap | mutable protected
engine_ (defined in Instrument) | Instrument | protected
errorEstimate() const | Instrument |
errorEstimate_ (defined in Instrument) | Instrument | protected
fairSpread() const | CreditDefaultSwap |
fairSpread_ (defined in CreditDefaultSwap) | CreditDefaultSwap | mutable protected
fairUpfront() const | CreditDefaultSwap |
fairUpfront_ (defined in CreditDefaultSwap) | CreditDefaultSwap | mutable protected
fetchResults(const PricingEngine::results *) const | CreditDefaultSwap | virtual
freeze() | LazyObject |
frozen_ (defined in LazyObject) | LazyObject | protected
impliedHazardRate(Real targetNPV, const Handle< YieldTermStructure > &discountCurve, const DayCounter &dayCounter, Real recoveryRate=0.4, Real accuracy=1.0e-8, PricingModel model=Midpoint) const | CreditDefaultSwap |
Instrument() (defined in Instrument) | Instrument |
ISDA enum value (defined in CreditDefaultSwap) | CreditDefaultSwap |
isExpired() const | CreditDefaultSwap | virtual
iterator typedef (defined in Observer) | Observer |
LazyObject() (defined in LazyObject) | LazyObject |
leg_ (defined in CreditDefaultSwap) | CreditDefaultSwap | protected
maturity_ (defined in CreditDefaultSwap) | CreditDefaultSwap | protected
Midpoint enum value (defined in CreditDefaultSwap) | CreditDefaultSwap |
notifyObservers() | Observable |
notional() const (defined in CreditDefaultSwap) | CreditDefaultSwap |
notional_ (defined in CreditDefaultSwap) | CreditDefaultSwap | protected
NPV() const | Instrument |
NPV_ (defined in Instrument) | Instrument | mutable protected
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) | CreditDefaultSwap | protected
performCalculations() const | Instrument | protected virtual
PricingModel enum name (defined in CreditDefaultSwap) | CreditDefaultSwap |
protectionEndDate() const | CreditDefaultSwap |
protectionStart_ (defined in CreditDefaultSwap) | CreditDefaultSwap | protected
protectionStartDate() const | CreditDefaultSwap |
rebatesAccrual() const (defined in CreditDefaultSwap) | CreditDefaultSwap |
recalculate() | LazyObject |
registerWith(const ext::shared_ptr< Observable > &) (defined in Observer) | Observer |
registerWithObservables(const ext::shared_ptr< Observer > &) | Observer |
result(const std::string &tag) const | Instrument |
runningSpread() const (defined in CreditDefaultSwap) | CreditDefaultSwap |
runningSpread_ (defined in CreditDefaultSwap) | CreditDefaultSwap | protected
set_type typedef (defined in Observer) | Observer |
setPricingEngine(const ext::shared_ptr< PricingEngine > &) | Instrument |
settlesAccrual() const (defined in CreditDefaultSwap) | CreditDefaultSwap |
settlesAccrual_ (defined in CreditDefaultSwap) | CreditDefaultSwap | protected
setupArguments(PricingEngine::arguments *) const | CreditDefaultSwap | virtual
setupExpired() const | CreditDefaultSwap | protected virtual
side() const (defined in CreditDefaultSwap) | CreditDefaultSwap |
side_ (defined in CreditDefaultSwap) | CreditDefaultSwap | protected
unfreeze() | LazyObject |
unregisterWith(const ext::shared_ptr< Observable > &) (defined in Observer) | Observer |
unregisterWithAll() (defined in Observer) | Observer |
update() | LazyObject | virtual
upfront() const (defined in CreditDefaultSwap) | CreditDefaultSwap |
upfront_ (defined in CreditDefaultSwap) | CreditDefaultSwap | protected
upfrontBPS() const (defined in CreditDefaultSwap) | CreditDefaultSwap |
upfrontBPS_ (defined in CreditDefaultSwap) | CreditDefaultSwap | mutable protected
upfrontNPV() const (defined in CreditDefaultSwap) | CreditDefaultSwap |
upfrontNPV_ (defined in CreditDefaultSwap) | CreditDefaultSwap | protected
upfrontPayment_ (defined in CreditDefaultSwap) | CreditDefaultSwap | protected
valuationDate() const | Instrument |
valuationDate_ (defined in Instrument) | Instrument | mutable protected
~LazyObject() (defined in LazyObject) | LazyObject | virtual
~Observable() (defined in Observable) | Observable | virtual
~Observer() (defined in Observer) | Observer | virtual