Risky asset-swap instrument. More...
#include <ql/experimental/credit/riskyassetswap.hpp>
 Inheritance diagram for RiskyAssetSwap:
 Inheritance diagram for RiskyAssetSwap:| Public Member Functions | |
| RiskyAssetSwap (bool fixedPayer, Real nominal, const Schedule &fixedSchedule, const Schedule &floatSchedule, const DayCounter &fixedDayCounter, const DayCounter &floatDayCounter, Rate spread, Rate recoveryRate_, const Handle< YieldTermStructure > &yieldTS, const Handle< DefaultProbabilityTermStructure > &defaultTS, Rate coupon=Null< Rate >()) | |
| Real | fairSpread () | 
| Real | floatAnnuity () const | 
| Real | nominal () | 
| Rate | spread () | 
| bool | fixedPayer () | 
|  Public Member Functions inherited from Instrument | |
| virtual void | setupArguments (PricingEngine::arguments *) const | 
| virtual void | fetchResults (const PricingEngine::results *) const | 
| Real | NPV () const | 
| returns the net present value of the instrument. | |
| Real | errorEstimate () const | 
| returns the error estimate on the NPV when available. | |
| const Date & | valuationDate () const | 
| returns the date the net present value refers to. | |
| template<typename T > | |
| T | result (const std::string &tag) const | 
| returns any additional result returned by the pricing engine. | |
| const std::map< std::string, boost::any > & | additionalResults () const | 
| returns all additional result returned by the pricing engine. | |
| void | setPricingEngine (const boost::shared_ptr< PricingEngine > &) | 
| set the pricing engine to be used.  More... | |
|  Public Member Functions inherited from LazyObject | |
| void | update () | 
| void | recalculate () | 
| void | freeze () | 
| void | unfreeze () | 
| void | alwaysForwardNotifications () | 
|  Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) | 
| void | notifyObservers () | 
|  Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) | 
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) | 
| void | registerWithObservables (const boost::shared_ptr< Observer > &) | 
| Size | unregisterWith (const boost::shared_ptr< Observable > &) | 
| void | unregisterWithAll () | 
| virtual void | deepUpdate () | 
| Additional Inherited Members | |
|  Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type | 
| typedef set_type::iterator | iterator | 
|  Protected Member Functions inherited from Instrument | |
| void | calculate () const | 
|  Protected Member Functions inherited from LazyObject | |
|  Protected Attributes inherited from Instrument | |
| boost::shared_ptr< PricingEngine > | engine_ | 
| Real | NPV_ | 
| Real | errorEstimate_ | 
| Date | valuationDate_ | 
| std::map< std::string, boost::any > | additionalResults_ | 
|  Protected Attributes inherited from LazyObject | |
| bool | calculated_ | 
| bool | frozen_ | 
| bool | alwaysForward_ | 
Risky asset-swap instrument.