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)

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)

Real impliedQuote () const

Additional Inherited Members

Detailed Description

Spread-quoted CDS hazard rate bootstrap helper.

Examples: CDS.cpp.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

SpreadCdsHelper(3) is an alias of QuantLib_SpreadCdsHelper(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib