Struct MidPointCdsEngine 

pub struct MidPointCdsEngine { /* private fields */ }

Mid-point engine for credit-default swaps.

Prices each live premium period against the default probability over the period, placing the default at the period’s mid-point.

Implementations

impl MidPointCdsEngine

pub fn new( probability: Handle<dyn DefaultProbabilityTermStructure>, recovery_rate: Real, discount_curve: Handle<dyn YieldTermStructure>, include_settlement_date_flows: Option<bool>, settings: Shared<Settings<Date>>, ) -> MidPointCdsEngine

Builds the engine over the two curve handles it registers with (midpointcdsengine.cpp:31-40).

include_settlement_date_flows overrides, when set, the settings’ flags for the settlement-date flow decision (the C++ includeSettlementDateFlows optional).

pub fn probability(&self) -> &Handle<dyn DefaultProbabilityTermStructure>

The default-probability curve handle the engine prices over.

pub fn discount_curve(&self) -> &Handle<dyn YieldTermStructure>

The discount-curve handle the engine prices over.

Trait Implementations

impl AsObservable for MidPointCdsEngine

fn observable(&self) -> &Observable

Access to the embedded observable for registering observers.

impl PricingEngine for MidPointCdsEngine

fn calculate(&mut self) -> QlResult<()>

midpointcdsengine.cpp:42-185.

fn arguments_mut(&mut self) -> &mut dyn Arguments

Mutable access to the argument bundle the instrument fills in.

fn results(&self) -> &dyn Results

The results of the last calculation.

fn reset(&mut self)

Clears the results ahead of a calculation.