QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
SpreadCdsHelper Class Reference

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

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

+ Inheritance diagram for SpreadCdsHelper:

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
 
- 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, 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< CreditDefaultSwapswap () 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
 
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 &)
 
Observeroperator= (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 &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 

Additional Inherited Members

- Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Protected Member Functions inherited from CdsHelper
void initializeDates ()
 
- Protected Member Functions inherited from RelativeDateBootstrapHelper< TS >
- 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_
 
DayCounter lastPeriodDC_
 
bool rebatesAccrual_
 
CreditDefaultSwap::PricingModel model_
 
Schedule schedule_
 
ext::shared_ptr< CreditDefaultSwapswap_
 
RelinkableHandle< DefaultProbabilityTermStructureprobability_
 
Date protectionStart_
 protection effective date.
 
Date startDate_
 
- Protected Attributes inherited from RelativeDateBootstrapHelper< TS >
Date evaluationDate_
 
- Protected Attributes inherited from BootstrapHelper< TS >
Handle< Quotequote_
 
TS * termStructure_
 
Date earliestDate_
 
Date latestDate_
 
Date maturityDate_
 
Date latestRelevantDate_
 
Date pillarDate_
 

Detailed Description

Spread-quoted CDS hazard rate bootstrap helper.

Examples
CDS.cpp.