RiskyAssetSwap Class Reference

Risky asset-swap instrument. More...

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

Inheritance diagram for RiskyAssetSwap:

List of all members.

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 ()

Detailed Description

Risky asset-swap instrument.