CreditDefaultSwap Member List
This is the complete list of members for CreditDefaultSwap, including all inherited members.
additionalResults() const Instrument
additionalResults_ (defined in Instrument)Instrument [mutable, protected]
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) const CreditDefaultSwap
couponLegBPS() const CreditDefaultSwap
couponLegBPS_ (defined in CreditDefaultSwap)CreditDefaultSwap [mutable, protected]
couponLegNPV() const (defined in CreditDefaultSwap)CreditDefaultSwap
couponLegNPV_ (defined in CreditDefaultSwap)CreditDefaultSwap [mutable, 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 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)CreditDefaultSwap [mutable, protected]
engine_ (defined in Instrument)Instrument [protected]
errorEstimate() const Instrument
errorEstimate_ (defined in Instrument)Instrument [mutable, 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 [mutable, protected]
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 CreditDefaultSwap [virtual]
LazyObject() (defined in LazyObject)LazyObject
leg_ (defined in CreditDefaultSwap)CreditDefaultSwap [protected]
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]
protectionEndDate() const CreditDefaultSwap
protectionStart_ (defined in CreditDefaultSwap)CreditDefaultSwap [protected]
protectionStartDate() const CreditDefaultSwap
recalculate()LazyObject
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
result(const std::string &tag) const Instrument
runningSpread() const (defined in CreditDefaultSwap)CreditDefaultSwap
runningSpread_ (defined in CreditDefaultSwap)CreditDefaultSwap [protected]
setPricingEngine(const boost::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 boost::shared_ptr< Observable > &) (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 [mutable, 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]