Searched refs:defaultTS_ (Results 1 – 6 of 6) sorted by relevance
| /dports/finance/quantlib/QuantLib-1.20/ql/experimental/credit/ |
| H A D | riskyassetswap.cpp | 43 yieldTS_(yieldTS), defaultTS_(defaultTS), coupon_(coupon) { in RiskyAssetSwap()
46 registerWith (defaultTS_); in RiskyAssetSwap()
119 if (fixedSchedule_[i-1] >= defaultTS_->referenceDate()) in recoveryValue()
122 d = defaultTS_->referenceDate(); in recoveryValue()
126 Real dd = defaultTS_->defaultDensity (d, true); in recoveryValue()
127 Real dcf = defaultTS_->dayCounter().yearFraction (d0, d); in recoveryValue()
149 * defaultTS_->survivalProbability (fixedSchedule_[i], true); in riskyBondPrice()
154 * defaultTS_->survivalProbability (fixedSchedule_.dates().back(), in riskyBondPrice()
169 * defaultTS_->defaultProbability (fixedSchedule_[i], true); in fairSpread()
174 * defaultTS_->defaultProbability (fixedSchedule_.dates().back(), in fairSpread()
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| H A D | riskybond.cpp | 40 : name_(name), ccy_(ccy), recoveryRate_(recoveryRate), defaultTS_(defaultTS), yieldTS_(yieldTS), in RiskyBond()
43 registerWith (defaultTS_); in RiskyBond()
69 * defaultTS_->survivalProbability(d2); in performCalculations()
71 * (defaultTS_->survivalProbability(d1) in performCalculations()
72 -defaultTS_->survivalProbability(d2)); in performCalculations()
119 * defaultTS_->survivalProbability(d2); in expectedCashflows()
121 * (defaultTS_->survivalProbability(d1) in expectedCashflows()
122 -defaultTS_->survivalProbability(d2)); in expectedCashflows()
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| H A D | riskybond.hpp | 85 Handle<DefaultProbabilityTermStructure> defaultTS_; member in QuantLib::RiskyBond
107 return defaultTS_; in defaultTS()
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| H A D | riskyassetswap.hpp | 83 Handle<DefaultProbabilityTermStructure> defaultTS_; member in QuantLib::RiskyAssetSwap
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| /dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/swap/ |
| H A D | cvaswapengine.cpp | 44 defaultTS_(ctptyDTS), in CounterpartyAdjSwapEngine()
70 defaultTS_(ctptyDTS), in CounterpartyAdjSwapEngine()
95 defaultTS_(ctptyDTS), in CounterpartyAdjSwapEngine()
113 QL_REQUIRE(!defaultTS_.empty(), in calculate()
118 Date priceDate = defaultTS_->referenceDate(); in calculate()
199 cumOptVal += swaptionlet.NPV() * defaultTS_->defaultProbability( in calculate()
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| H A D | cvaswapengine.hpp | 116 Handle<DefaultProbabilityTermStructure> defaultTS_; member in QuantLib::CounterpartyAdjSwapEngine
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