- QuantLib
- RiskyAssetSwapOption
Option on risky asset swap More...
#include <ql/experimental/credit/riskyassetswapoption.hpp>
Public Member Functions | |
RiskyAssetSwapOption (bool payer, const boost::shared_ptr< RiskyAssetSwap > &asw, const Date &expiry, Rate marketSpread, Volatility spreadVolatility) |
Option on risky asset swap