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, const Date &startDate=Date(), const DayCounter &lastPeriodDayCounter=DayCounter(), bool rebatesAccrual=true, const CreditDefaultSwap::PricingModel model=CreditDefaultSwap::Midpoint)
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, const Date &startDate=Date(), const DayCounter &lastPeriodDayCounter=DayCounter(), bool rebatesAccrual=true, const CreditDefaultSwap::PricingModel model=CreditDefaultSwap::Midpoint)
void setTermStructure (DefaultProbabilityTermStructure *)
boost::shared_ptr< CreditDefaultSwap > swap () const
void update ()

Protected Member Functions

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_
DayCounter lastPeriodDC_
bool rebatesAccrual_
CreditDefaultSwap::PricingModel model_
Schedule schedule_
boost::shared_ptr< CreditDefaultSwap > swap_
RelinkableHandle< DefaultProbabilityTermStructure > probability_
Date protectionStart_
protection effective date.
Date startDate_

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. Does not refer to initial cash settlements (upfront and/or rebates) which are typically on T+3
paymentConvention The payment convention applied to coupons schedules, settlement dates and protection period calculations.

Member Function Documentation

void update () [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

The man pages CdsHelper(3), discountCurve_(3), lastPeriodDC_(3), model_(3), paymentConvention_(3), paysAtDefaultTime_(3), probability_(3), protectionStart_(3), rebatesAccrual_(3), recoveryRate_(3), resetEngine(3), rule_(3), schedule_(3), settlesAccrual_(3) and startDate_(3) are aliases of QuantLib_CdsHelper(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib