class xf::fintech::CreditDefaultSwap¶
#include "xf_fintech_cds.hpp"
Methods¶
run¶
int run ( float* timesIR, float* ratesIR, float* timesHazard, float* ratesHazard, float* notional, float* recovery, float* maturity, int* frequency, float* cdsSpread )
Calculate one or more options based on input data and option type
Parameters:
timesIR | vector of yield curve interest rate times |
ratesIR | vector of yield curve interest rates rates |
timesHazard | vector of yield curve hazard times |
ratesHazard | vector of yield curve hazard rates |
notional | vector of notional values |
recovery | vector of recovery rates |
maturity | vector of maturities |
frequency | vector of frequencies |
cdsSpread | output vector of CDS spread values |