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Sourcecode: quantlib version File versions  Download package

blackcdsoptionengine.hpp File Reference


Detailed Description

Black credit default swap option engine.

Definition in file blackcdsoptionengine.hpp.

#include <ql/experimental/credit/cdsoption.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Classes

class  QuantLib::BlackCdsOptionEngine
 Black-formula CDS-option engine. More...


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