CdsHelper Class Reference

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

Inheritance diagram for CdsHelper:

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, 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, CreditDefaultSwap::PricingModel model=CreditDefaultSwap::Midpoint)
void	setTermStructure (DefaultProbabilityTermStructure *)
ext::shared_ptr< CreditDefaultSwap >	swap () const
void	update ()
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
virtual Real	impliedQuote () const =0
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	maturityDate () const
	instrument's maturity date
virtual Date	latestRelevantDate () const
	latest relevant date More...
virtual Date	pillarDate () const
	pillar date
virtual Date	latestDate () const
	latest date More...
virtual void	accept (AcyclicVisitor &)
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
void	notifyObservers ()

Protected Member Functions
void	initializeDates ()
virtual void	resetEngine ()=0
Protected Member Functions inherited from RelativeDateBootstrapHelper< TS >

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_
ext::shared_ptr< CreditDefaultSwap >	swap_
RelinkableHandle< DefaultProbabilityTermStructure >	probability_
Date	protectionStart_
	protection effective date.
Date	startDate_
Protected Attributes inherited from RelativeDateBootstrapHelper< TS >
Date	evaluationDate_
Protected Attributes inherited from BootstrapHelper< TS >
Handle< Quote >	quote_
TS *	termStructure_
Date	earliestDate_
Date	latestDate_
Date	maturityDate_
Date	latestRelevantDate_
Date	pillarDate_

Additional Inherited Members
Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > >	set_type
typedef set_type::iterator	iterator

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

update()

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 >.