QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
Public Member Functions | List of all members
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 More...
 
virtual Date earliestDate () const
 earliest relevant date More...
 
virtual Date latestDate () const
 latest relevant date More...
 
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.
 
- Protected Attributes inherited from RelativeDateBootstrapHelper< TS >
Date evaluationDate_
 
- Protected Attributes inherited from BootstrapHelper< TS >
Handle< Quotequote_
 
TS * termStructure_
 
Date earliestDate_
 
Date latestDate_
 

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.