Spread-quoted CDS hazard rate bootstrap helper. More...
#include <ql/termstructures/credit/defaultprobabilityhelpers.hpp>
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, 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(), bool rebatesAccrual=true, CreditDefaultSwap::PricingModel model=CreditDefaultSwap::Midpoint) | |
Real | impliedQuote () const |
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CdsHelper (const Handle< Quote > "e, 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 () |
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RelativeDateBootstrapHelper (const Handle< Quote > "e) | |
RelativeDateBootstrapHelper (Real quote) | |
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BootstrapHelper (const Handle< Quote > "e) | |
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 | 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 &) |
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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 () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
Additional Inherited Members | |
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typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
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void | initializeDates () |
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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_ |
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Date | evaluationDate_ |
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Handle< Quote > | quote_ |
TS * | termStructure_ |
Date | earliestDate_ |
Date | latestDate_ |
Date | maturityDate_ |
Date | latestRelevantDate_ |
Date | pillarDate_ |
Spread-quoted CDS hazard rate bootstrap helper.