class xf::fintech::CreditDefaultSwap

#include "xf_fintech_cds.hpp"


class CreditDefaultSwap: public xf::fintech::OCLController

Inherited Members



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


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


long long int getLastRunTime (void)

This method returns the time the execution of the last call to run() took.