UpfrontCdsHelper Class Reference

Upfront-quoted CDS hazard rate bootstrap helper. More...

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

Inheritance diagram for UpfrontCdsHelper:

Public Member Functions

 UpfrontCdsHelper (const Handle< Quote > &upfront, 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, Natural upfrontSettlementDays=0, bool settlesAccrual=true, bool paysAtDefaultTime=true)
 
 UpfrontCdsHelper (Rate upfront, 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, Natural upfrontSettlementDays=0, bool settlesAccrual=true, bool paysAtDefaultTime=true)
 
Real impliedQuote () const
 
void initializeDates ()
 
- Public Member Functions inherited from CdsHelper
 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 *)
 
- Public Member Functions inherited from RelativeDateBootstrapHelper< TS >
 RelativeDateBootstrapHelper (const Handle< Quote > &quote)
 
 RelativeDateBootstrapHelper (Real quote)
 
- Public Member Functions inherited from BootstrapHelper< TS >
 BootstrapHelper (const Handle< Quote > &quote)
 
 BootstrapHelper (Real quote)
 
const Handle< Quote > & quote () const
 
Real quoteError () const
 
virtual void setTermStructure (TS *)
 sets the term structure to be used for pricing
 
virtual Date earliestDate () const
 earliest relevant date
 
virtual Date latestDate () const
 latest relevant date
 
virtual void accept (AcyclicVisitor &)
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 

Additional Inherited Members

- Protected Member Functions inherited from CdsHelper
void update ()
 
- Protected Attributes inherited from CdsHelper
Period tenor_
 
Integer settlementDays_
 
Calendar calendar_
 
Frequency frequency_
 
BusinessDayConvention paymentConvention_
 
DateGeneration::Rule rule_
 
DayCounter dayCounter_
 
Real recoveryRate_
 
Handle< YieldTermStructurediscountCurve_
 
bool settlesAccrual_
 
bool paysAtDefaultTime_
 
Schedule schedule_
 
boost::shared_ptr
< CreditDefaultSwap
swap_
 
RelinkableHandle
< DefaultProbabilityTermStructure
probability_
 
Date protectionStart_
 protection effective date.
 

Detailed Description

Upfront-quoted CDS hazard rate bootstrap helper.

Constructor & Destructor Documentation

UpfrontCdsHelper ( const Handle< Quote > &  upfront,
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,
Natural  upfrontSettlementDays = 0,
bool  settlesAccrual = true,
bool  paysAtDefaultTime = true 
)
Note
the upfront must be quoted in fractional units.
UpfrontCdsHelper ( Rate  upfront,
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,
Natural  upfrontSettlementDays = 0,
bool  settlesAccrual = true,
bool  paysAtDefaultTime = true 
)
Note
the upfront must be quoted in fractional units.