class xf::fintech::CreditDefaultSwap

#include "xf_fintech_cds.hpp"

Overview

class CreditDefaultSwap: public xf::fintech::OCLController

Inherited Members

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

getLastRunTime

long long int getLastRunTime (void)

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