QuantLib_SpreadCdsHelper man page

SpreadCdsHelper — Spread-quoted CDS hazard rate bootstrap helper.  

Synopsis

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

Inherits CdsHelper.

Public Member Functions

SpreadCdsHelper (const Handle< Quote > &runningSpread, 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)
SpreadCdsHelper (Rate runningSpread, 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(), const bool rebatesAccrual=true, const CreditDefaultSwap::PricingModel model=CreditDefaultSwap::Midpoint)
Real impliedQuote () const

Additional Inherited Members

Detailed Description

Spread-quoted CDS hazard rate bootstrap helper.

Examples: CDS.cpp.

Author

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Referenced By

The man page SpreadCdsHelper(3) is an alias of QuantLib_SpreadCdsHelper(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib