QuantLib_CdsHelper man page

CdsHelper —

Synopsis

#include <ql/termstructures/credit/defaultprobabilityhelpers.hpp>

Inherits RelativeDateBootstrapHelper< TS >.

Inherited by SpreadCdsHelper, and UpfrontCdsHelper.

Public Member Functions

CdsHelper (const Handle< Quote > &quote, const Period &tenor, Integer settlementDays, const Calendar &calendar, Frequency frequency, BusinessDayConvention paymentConvention, DateGeneration::Rule rule, const DayCounter &dayCounter, Real recoveryRate, const Handle< YieldTermStructure > &discountCurve, bool settlesAccrual=true, bool paysAtDefaultTime=true)

CdsHelper (Rate quote, const Period &tenor, Integer settlementDays, const Calendar &calendar, Frequency frequency, BusinessDayConvention paymentConvention, DateGeneration::Rule rule, const DayCounter &dayCounter, Real recoveryRate, const Handle< YieldTermStructure > &discountCurve, bool settlesAccrual=true, bool paysAtDefaultTime=true)

void setTermStructure (DefaultProbabilityTermStructure *)

Protected Member Functions

void update ()

void initializeDates ()

virtual void resetEngine ()=0

Protected Attributes

Period tenor_

Integer settlementDays_

Calendar calendar_

Frequency frequency_

BusinessDayConvention paymentConvention_

DateGeneration::Rule rule_

DayCounter dayCounter_

Real recoveryRate_

Handle< YieldTermStructure > discountCurve_

bool settlesAccrual_

bool paysAtDefaultTime_

Schedule schedule_

boost::shared_ptr< CreditDefaultSwap > swap_

RelinkableHandle< DefaultProbabilityTermStructure > probability_

Date protectionStart_
protection effective date.

Additional Inherited Members

Detailed Description

Base default-probability bootstrap helper

Parameters:

tenor CDS tenor.
frequency Coupon frequency.
settlementDays The number of days from today's date to the start of the protection period.
paymentConvention The payment convention applied to coupons schedules, settlement dates and protection period calculations.

Member Function Documentation

void update () [protected], [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Reimplemented from RelativeDateBootstrapHelper< TS >.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

CdsHelper(3), discountCurve_(3), paymentConvention_(3), paysAtDefaultTime_(3), probability_(3), protectionStart_(3), recoveryRate_(3), resetEngine(3), rule_(3), schedule_(3) and settlesAccrual_(3) are aliases of QuantLib_CdsHelper(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib