- QuantLib
- BlackCdsOptionEngine
 
Black-formula CDS-option engine. More...
#include <ql/experimental/credit/blackcdsoptionengine.hpp>

| Public Member Functions | |
| BlackCdsOptionEngine (const Handle< DefaultProbabilityTermStructure > &, Real recoveryRate, const Handle< YieldTermStructure > &termStructure, const Handle< Quote > &vol) | |
| void | calculate () const | 
| Handle< YieldTermStructure > | termStructure () | 
| Handle< Quote > | volatility () | 
Black-formula CDS-option engine.