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<li class="navelem"><b>QuantLib</b> </li>
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<!-- doxytag: class="QuantLib::CreditDefaultSwap" --><!-- doxytag: inherits="QuantLib::Instrument" -->
<p>Credit default swap.
<a href="class_quant_lib_1_1_credit_default_swap.html#details">More...</a></p>
<p><code>#include <ql/instruments/creditdefaultswap.hpp></code></p>
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Inheritance diagram for CreditDefaultSwap:</div>
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<p><a href="class_quant_lib_1_1_credit_default_swap-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td colspan="2"><div class="groupHeader">Constructors</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_credit_default_swap.html#acc79277d9b859d2db515a4006e39ab41">CreditDefaultSwap</a> (Protection::Side side, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> notional, <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> spread, const <a class="el" href="class_quant_lib_1_1_schedule.html">Schedule</a> &schedule, <a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> paymentConvention, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dayCounter, bool settlesAccrual=true, bool paysAtDefaultTime=true, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &protectionStart=<a class="el" href="class_quant_lib_1_1_date.html">Date</a>(), const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_claim.html">Claim</a> > &=boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_claim.html">Claim</a> >())</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">CDS quoted as running-spread only. <a href="#acc79277d9b859d2db515a4006e39ab41"></a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_credit_default_swap.html#a39ad57353c0f6d00b1e20ef3b370fdb5">CreditDefaultSwap</a> (Protection::Side side, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> notional, <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> upfront, <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> spread, const <a class="el" href="class_quant_lib_1_1_schedule.html">Schedule</a> &schedule, <a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> paymentConvention, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dayCounter, bool settlesAccrual=true, bool paysAtDefaultTime=true, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &protectionStart=<a class="el" href="class_quant_lib_1_1_date.html">Date</a>(), const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &upfrontDate=<a class="el" href="class_quant_lib_1_1_date.html">Date</a>(), const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_claim.html">Claim</a> > &=boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_claim.html">Claim</a> >())</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">CDS quoted as upfront and running spread. <a href="#a39ad57353c0f6d00b1e20ef3b370fdb5"></a><br/></td></tr>
<tr><td colspan="2"><div class="groupHeader">Inspectors</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="acc92405f554372b2ac8be49b9c052908"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::side" ref="acc92405f554372b2ac8be49b9c052908" args="() const " -->
Protection::Side </td><td class="memItemRight" valign="bottom"><b>side</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a77c2316297c4e96aac988cecd2564e72"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::notional" ref="a77c2316297c4e96aac988cecd2564e72" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>notional</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a63b91855ec1848afb6dca91b5b53a3b0"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::runningSpread" ref="a63b91855ec1848afb6dca91b5b53a3b0" args="() const " -->
<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>runningSpread</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a5a44ea6a59c7913843c89ea5acf6fc72"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::upfront" ref="a5a44ea6a59c7913843c89ea5acf6fc72" args="() const " -->
boost::optional< <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> > </td><td class="memItemRight" valign="bottom"><b>upfront</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a6c2c2b3c3323b9e8b7b7e9b6d9a381bf"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::settlesAccrual" ref="a6c2c2b3c3323b9e8b7b7e9b6d9a381bf" args="() const " -->
bool </td><td class="memItemRight" valign="bottom"><b>settlesAccrual</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a3a9c322458ea5f2f207bbbda4d63f63c"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::paysAtDefaultTime" ref="a3a9c322458ea5f2f207bbbda4d63f63c" args="() const " -->
bool </td><td class="memItemRight" valign="bottom"><b>paysAtDefaultTime</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7570cd83c9c52257a28a15125b553207"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::coupons" ref="a7570cd83c9c52257a28a15125b553207" args="() const " -->
const Leg & </td><td class="memItemRight" valign="bottom"><b>coupons</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a061ac789f04857311e0ac77349c5470d"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::protectionStartDate" ref="a061ac789f04857311e0ac77349c5470d" args="() const " -->
const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_credit_default_swap.html#a061ac789f04857311e0ac77349c5470d">protectionStartDate</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">The first date for which defaults will trigger the contract. <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a771353eb0b622464172d74dd95225aae"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::protectionEndDate" ref="a771353eb0b622464172d74dd95225aae" args="() const " -->
const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_credit_default_swap.html#a771353eb0b622464172d74dd95225aae">protectionEndDate</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">The last date for which defaults will trigger the contract. <br/></td></tr>
<tr><td colspan="2"><div class="groupHeader">Results</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_credit_default_swap.html#af902c4c5d6a281bfc0e46820bb8f8126">fairUpfront</a> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_credit_default_swap.html#ad5fc81080d467478294f70a2982808d4">fairSpread</a> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_credit_default_swap.html#a3479180b25f065f25ae8e60bdf858488">couponLegBPS</a> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="abad29773115638e00029dcf11e635ed4"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::upfrontBPS" ref="abad29773115638e00029dcf11e635ed4" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>upfrontBPS</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aff1e2188d21b77de2dcf0d7760517876"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::couponLegNPV" ref="aff1e2188d21b77de2dcf0d7760517876" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>couponLegNPV</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a765fd58f395da55f01c62d5af5ba1c01"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::defaultLegNPV" ref="a765fd58f395da55f01c62d5af5ba1c01" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>defaultLegNPV</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aad9137d80be70b001150a4bd3231f6d6"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::upfrontNPV" ref="aad9137d80be70b001150a4bd3231f6d6" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>upfrontNPV</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_credit_default_swap.html#a191f03cc383196d7f37049a45ca2c488">impliedHazardRate</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> targetNPV, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &discountCurve, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dayCounter, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> recoveryRate=0.4, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> accuracy=1.0e-6) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Implied hazard rate calculation. <a href="#a191f03cc383196d7f37049a45ca2c488"></a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_credit_default_swap.html#aae9e3995e52f04f34657c731af050db3">conventionalSpread</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> conventionalRecovery, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &discountCurve, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dayCounter) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Conventional/standard upfront-to-spread conversion. <a href="#aae9e3995e52f04f34657c731af050db3"></a><br/></td></tr>
<tr><td colspan="2"><h2><a name="pro-attribs"></a>
Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a9c93f5707fa78510a2dcc2948d832504"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::side_" ref="a9c93f5707fa78510a2dcc2948d832504" args="" -->
Protection::Side </td><td class="memItemRight" valign="bottom"><b>side_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a3d1edba4f4e875e8a85a5626164b9c6b"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::notional_" ref="a3d1edba4f4e875e8a85a5626164b9c6b" args="" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>notional_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab31cb0b8daa7d2943b90e6edcf913f42"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::upfront_" ref="ab31cb0b8daa7d2943b90e6edcf913f42" args="" -->
boost::optional< <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> > </td><td class="memItemRight" valign="bottom"><b>upfront_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aebc84697d9b3aee7df3fe493a9f0989a"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::runningSpread_" ref="aebc84697d9b3aee7df3fe493a9f0989a" args="" -->
<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>runningSpread_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a35b254f503b2aee639d297831e005d45"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::settlesAccrual_" ref="a35b254f503b2aee639d297831e005d45" args="" -->
bool </td><td class="memItemRight" valign="bottom"><b>settlesAccrual_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ae03296278d01521f4ac3cb16e90e515d"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::paysAtDefaultTime_" ref="ae03296278d01521f4ac3cb16e90e515d" args="" -->
bool </td><td class="memItemRight" valign="bottom"><b>paysAtDefaultTime_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a8d19136c2677124e6f87b96097270f5d"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::claim_" ref="a8d19136c2677124e6f87b96097270f5d" args="" -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_claim.html">Claim</a> > </td><td class="memItemRight" valign="bottom"><b>claim_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a3808b310b689d85c3baf02196676137e"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::leg_" ref="a3808b310b689d85c3baf02196676137e" args="" -->
Leg </td><td class="memItemRight" valign="bottom"><b>leg_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac6189008a8d2ea5c60c9af97d19797ed"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::upfrontPayment_" ref="ac6189008a8d2ea5c60c9af97d19797ed" args="" -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_cash_flow.html">CashFlow</a> > </td><td class="memItemRight" valign="bottom"><b>upfrontPayment_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af0732090814361ce5e8a885d9b57fc4b"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::protectionStart_" ref="af0732090814361ce5e8a885d9b57fc4b" args="" -->
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><b>protectionStart_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="adead8c6e095e8d51ef0fb318a40de2dc"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::fairUpfront_" ref="adead8c6e095e8d51ef0fb318a40de2dc" args="" -->
<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>fairUpfront_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a0f3353390dfe7de815a49d80ab5d41c4"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::fairSpread_" ref="a0f3353390dfe7de815a49d80ab5d41c4" args="" -->
<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>fairSpread_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a5f2ff788a1acd204d8068d4ca11f920c"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::couponLegBPS_" ref="a5f2ff788a1acd204d8068d4ca11f920c" args="" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>couponLegBPS_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a4b061c802e5e833b4d34384f3851c218"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::couponLegNPV_" ref="a4b061c802e5e833b4d34384f3851c218" args="" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>couponLegNPV_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a4e87a45d59ec242e881132bdad89e55e"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::upfrontBPS_" ref="a4e87a45d59ec242e881132bdad89e55e" args="" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>upfrontBPS_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a77bc6523b9016dca4d4ad9279a3d1c65"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::upfrontNPV_" ref="a77bc6523b9016dca4d4ad9279a3d1c65" args="" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>upfrontNPV_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="adcec84d0d7745f28dba0f139b2942c6d"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::defaultLegNPV_" ref="adcec84d0d7745f28dba0f139b2942c6d" args="" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>defaultLegNPV_</b></td></tr>
<tr><td colspan="2"><h2><a name="member-group"></a>
Instrument interface</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a274c03751addc5c2ea63cc23d14a0bfe"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::isExpired" ref="a274c03751addc5c2ea63cc23d14a0bfe" args="() const " -->
bool </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_credit_default_swap.html#a274c03751addc5c2ea63cc23d14a0bfe">isExpired</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns whether the instrument might have value greater than zero. <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_credit_default_swap.html#aad6958108bfaef12bc4ccd6b3d7a7231">setupArguments</a> (PricingEngine::arguments *) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_credit_default_swap.html#aa0a3105ddebcff9f233fb76a8a31fafe">fetchResults</a> (const PricingEngine::results *) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_credit_default_swap.html#a1ea01b653cd3880c3e5d8bc34af412d3">setupExpired</a> () const </td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Credit default swap. </p>
<dl class="note"><dt><b>Note:</b></dt><dd>This instrument currently assumes that the issuer did not default until today's date.</dd></dl>
<dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000054">Warning:</a></b></dt><dd>if <code>Settings::includeReferenceDateCashFlows()</code> is set to <code>true</code>, payments occurring at the settlement date of the swap might be included in the NPV and therefore affect the fair-spread calculation. This might not be what you want.</dd></dl>
<dl><dt><b>Examples: </b></dt><dd><a class="el" href="_c_d_s_8cpp-example.html#_a26">CDS.cpp</a>.</dd>
</dl></div><hr/><h2>Constructor & Destructor Documentation</h2>
<a class="anchor" id="acc79277d9b859d2db515a4006e39ab41"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::CreditDefaultSwap" ref="acc79277d9b859d2db515a4006e39ab41" args="(Protection::Side side, Real notional, Rate spread, const Schedule &schedule, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, bool settlesAccrual=true, bool paysAtDefaultTime=true, const Date &protectionStart=Date(), const boost::shared_ptr< Claim > &=boost::shared_ptr< Claim >())" -->
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<td class="memname"><a class="el" href="class_quant_lib_1_1_credit_default_swap.html">CreditDefaultSwap</a> </td>
<td>(</td>
<td class="paramtype">Protection::Side </td>
<td class="paramname"><em>side</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>notional</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td>
<td class="paramname"><em>spread</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_schedule.html">Schedule</a> & </td>
<td class="paramname"><em>schedule</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> </td>
<td class="paramname"><em>paymentConvention</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> & </td>
<td class="paramname"><em>dayCounter</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">bool </td>
<td class="paramname"><em>settlesAccrual</em> = <code>true</code>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">bool </td>
<td class="paramname"><em>paysAtDefaultTime</em> = <code>true</code>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td>
<td class="paramname"><em>protectionStart</em> = <code><a class="el" href="class_quant_lib_1_1_date.html">Date</a>()</code>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_claim.html">Claim</a> > & </td>
<td class="paramname"> = <code>boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_claim.html">Claim</a> >()</code> </td>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>CDS quoted as running-spread only. </p>
<dl class="params"><dt><b>Parameters:</b></dt><dd>
<table class="params">
<tr><td class="paramname">side</td><td>Whether the protection is bought or sold. </td></tr>
<tr><td class="paramname">notional</td><td>Notional value </td></tr>
<tr><td class="paramname">spread</td><td>Running spread in fractional units. </td></tr>
<tr><td class="paramname">schedule</td><td><a class="el" href="class_quant_lib_1_1_coupon.html" title="coupon accruing over a fixed period">Coupon</a> schedule. </td></tr>
<tr><td class="paramname">paymentConvention</td><td>Business-day convention for payment-date adjustment. </td></tr>
<tr><td class="paramname">dayCounter</td><td>Day-count convention for accrual. </td></tr>
<tr><td class="paramname">settlesAccrual</td><td>Whether or not the accrued coupon is due in the event of a default. </td></tr>
<tr><td class="paramname">paysAtDefaultTime</td><td>If set to true, any payments triggered by a default event are due at default time. If set to false, they are due at the end of the accrual period. </td></tr>
<tr><td class="paramname">protectionStart</td><td>The first date where a default event will trigger the contract. </td></tr>
</table>
</dd>
</dl>
</div>
</div>
<a class="anchor" id="a39ad57353c0f6d00b1e20ef3b370fdb5"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::CreditDefaultSwap" ref="a39ad57353c0f6d00b1e20ef3b370fdb5" args="(Protection::Side side, Real notional, Rate upfront, Rate spread, const Schedule &schedule, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, bool settlesAccrual=true, bool paysAtDefaultTime=true, const Date &protectionStart=Date(), const Date &upfrontDate=Date(), const boost::shared_ptr< Claim > &=boost::shared_ptr< Claim >())" -->
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<td class="memname"><a class="el" href="class_quant_lib_1_1_credit_default_swap.html">CreditDefaultSwap</a> </td>
<td>(</td>
<td class="paramtype">Protection::Side </td>
<td class="paramname"><em>side</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>notional</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td>
<td class="paramname"><em>upfront</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td>
<td class="paramname"><em>spread</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_schedule.html">Schedule</a> & </td>
<td class="paramname"><em>schedule</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> </td>
<td class="paramname"><em>paymentConvention</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> & </td>
<td class="paramname"><em>dayCounter</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">bool </td>
<td class="paramname"><em>settlesAccrual</em> = <code>true</code>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">bool </td>
<td class="paramname"><em>paysAtDefaultTime</em> = <code>true</code>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td>
<td class="paramname"><em>protectionStart</em> = <code><a class="el" href="class_quant_lib_1_1_date.html">Date</a>()</code>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td>
<td class="paramname"><em>upfrontDate</em> = <code><a class="el" href="class_quant_lib_1_1_date.html">Date</a>()</code>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_claim.html">Claim</a> > & </td>
<td class="paramname"> = <code>boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_claim.html">Claim</a> >()</code> </td>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>CDS quoted as upfront and running spread. </p>
<dl class="params"><dt><b>Parameters:</b></dt><dd>
<table class="params">
<tr><td class="paramname">side</td><td>Whether the protection is bought or sold. </td></tr>
<tr><td class="paramname">notional</td><td>Notional value </td></tr>
<tr><td class="paramname">upfront</td><td>Upfront in fractional units. </td></tr>
<tr><td class="paramname">spread</td><td>Running spread in fractional units. </td></tr>
<tr><td class="paramname">schedule</td><td><a class="el" href="class_quant_lib_1_1_coupon.html" title="coupon accruing over a fixed period">Coupon</a> schedule. </td></tr>
<tr><td class="paramname">paymentConvention</td><td>Business-day convention for payment-date adjustment. </td></tr>
<tr><td class="paramname">dayCounter</td><td>Day-count convention for accrual. </td></tr>
<tr><td class="paramname">settlesAccrual</td><td>Whether or not the accrued coupon is due in the event of a default. </td></tr>
<tr><td class="paramname">paysAtDefaultTime</td><td>If set to true, any payments triggered by a default event are due at default time. If set to false, they are due at the end of the accrual period. </td></tr>
<tr><td class="paramname">protectionStart</td><td>The first date where a default event will trigger the contract. </td></tr>
<tr><td class="paramname">upfrontDate</td><td><a class="el" href="struct_quant_lib_1_1_settlement.html" title="settlement information">Settlement</a> date for the upfront payment. </td></tr>
</table>
</dd>
</dl>
</div>
</div>
<hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="aad6958108bfaef12bc4ccd6b3d7a7231"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::setupArguments" ref="aad6958108bfaef12bc4ccd6b3d7a7231" args="(PricingEngine::arguments *) const " -->
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<td class="memname">void <a class="el" href="class_quant_lib_1_1_credit_default_swap.html#aad6958108bfaef12bc4ccd6b3d7a7231">setupArguments</a> </td>
<td>(</td>
<td class="paramtype">PricingEngine::arguments * </td>
<td class="paramname"></td><td>)</td>
<td> const<code> [virtual]</code></td>
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<p>When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used. </p>
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_instrument.html#aad6958108bfaef12bc4ccd6b3d7a7231">Instrument</a>.</p>
</div>
</div>
<a class="anchor" id="aa0a3105ddebcff9f233fb76a8a31fafe"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::fetchResults" ref="aa0a3105ddebcff9f233fb76a8a31fafe" args="(const PricingEngine::results *) const " -->
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<td class="memname">void <a class="el" href="class_quant_lib_1_1_credit_default_swap.html#aa0a3105ddebcff9f233fb76a8a31fafe">fetchResults</a> </td>
<td>(</td>
<td class="paramtype">const PricingEngine::results * </td>
<td class="paramname"><em>r</em></td><td>)</td>
<td> const<code> [virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used. </p>
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_instrument.html#aa0a3105ddebcff9f233fb76a8a31fafe">Instrument</a>.</p>
</div>
</div>
<a class="anchor" id="af902c4c5d6a281bfc0e46820bb8f8126"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::fairUpfront" ref="af902c4c5d6a281bfc0e46820bb8f8126" args="() const " -->
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<td class="memname"><a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> <a class="el" href="class_quant_lib_1_1_credit_default_swap.html#af902c4c5d6a281bfc0e46820bb8f8126">fairUpfront</a> </td>
<td>(</td>
<td class="paramname"></td><td>)</td>
<td> const</td>
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<div class="memdoc">
<p>Returns the upfront spread that, given the running spread and the quoted recovery rate, will make the instrument have an NPV of 0. </p>
</div>
</div>
<a class="anchor" id="ad5fc81080d467478294f70a2982808d4"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::fairSpread" ref="ad5fc81080d467478294f70a2982808d4" args="() const " -->
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<td class="memname"><a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> <a class="el" href="class_quant_lib_1_1_credit_default_swap.html#ad5fc81080d467478294f70a2982808d4">fairSpread</a> </td>
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<p>Returns the running spread that, given the quoted recovery rate, will make the running-only CDS have an NPV of 0.</p>
<dl class="note"><dt><b>Note:</b></dt><dd>This calculation does not take any upfront into account, even if one was given. </dd></dl>
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<a class="anchor" id="a3479180b25f065f25ae8e60bdf858488"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::couponLegBPS" ref="a3479180b25f065f25ae8e60bdf858488" args="() const " -->
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<td class="memname"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_credit_default_swap.html#a3479180b25f065f25ae8e60bdf858488">couponLegBPS</a> </td>
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<p>Returns the variation of the fixed-leg value given a one-basis-point change in the running spread. </p>
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<a class="anchor" id="a191f03cc383196d7f37049a45ca2c488"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::impliedHazardRate" ref="a191f03cc383196d7f37049a45ca2c488" args="(Real targetNPV, const Handle< YieldTermStructure > &discountCurve, const DayCounter &dayCounter, Real recoveryRate=0.4, Real accuracy=1.0e-6) const " -->
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<td class="memname"><a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> <a class="el" href="class_quant_lib_1_1_credit_default_swap.html#a191f03cc383196d7f37049a45ca2c488">impliedHazardRate</a> </td>
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<td class="paramname"><em>targetNPV</em>, </td>
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<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > & </td>
<td class="paramname"><em>discountCurve</em>, </td>
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<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> & </td>
<td class="paramname"><em>dayCounter</em>, </td>
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<td class="paramtype"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
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<td class="paramname"><em>accuracy</em> = <code>1.0e-6</code> </td>
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<p>Implied hazard rate calculation. </p>
<dl class="note"><dt><b>Note:</b></dt><dd>This method performs the calculation with the instrument characteristics. It will coincide with the ISDA calculation if your object has the standard characteristics. Notably:<ul>
<li>The calendar should have no bank holidays, just weekends.</li>
<li>The yield curve should be LIBOR piecewise constant in fwd rates, with a discount factor of 1 on the calculation date, which coincides with the trade date.</li>
<li>Convention should be Following for yield curve and contract cashflows.</li>
<li>The CDS should pay accrued and mature on standard <a class="el" href="struct_quant_lib_1_1_i_m_m.html" title="Main cycle of the International Money Market (a.k.a. IMM) months.">IMM</a> dates, settle on trade date +1 and upfront settle on trade date +3. </li>
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<a class="anchor" id="aae9e3995e52f04f34657c731af050db3"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::conventionalSpread" ref="aae9e3995e52f04f34657c731af050db3" args="(Real conventionalRecovery, const Handle< YieldTermStructure > &discountCurve, const DayCounter &dayCounter) const " -->
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<td class="memname"><a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> <a class="el" href="class_quant_lib_1_1_credit_default_swap.html#aae9e3995e52f04f34657c731af050db3">conventionalSpread</a> </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>conventionalRecovery</em>, </td>
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<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > & </td>
<td class="paramname"><em>discountCurve</em>, </td>
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<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> & </td>
<td class="paramname"><em>dayCounter</em> </td>
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<p>Conventional/standard upfront-to-spread conversion. </p>
<p>Under a standard ISDA model and a set of standardised instrument characteristics, it is the running only quoted spread that will make a CDS contract have an NPV of 0 when quoted for that running only spread. Refer to: "ISDA
Standard CDS converter specification." May 2009.</p>
<p>The conventional recovery rate to apply in the calculation is as specified by ISDA, not necessarily equal to the market-quoted one. It is typically 0.4 for SeniorSec and 0.2 for subordinate.</p>
<dl class="note"><dt><b>Note:</b></dt><dd>The conversion employs a flat hazard rate. As a result, you will not recover the market quotes.</dd>
<dd>
This method performs the calculation with the instrument characteristics. It will coincide with the ISDA calculation if your object has the standard characteristics. Notably:<ul>
<li>The calendar should have no bank holidays, just weekends.</li>
<li>The yield curve should be LIBOR piecewise constant in fwd rates, with a discount factor of 1 on the calculation date, which coincides with the trade date.</li>
<li>Convention should be Following for yield curve and contract cashflows.</li>
<li>The CDS should pay accrued and mature on standard <a class="el" href="struct_quant_lib_1_1_i_m_m.html" title="Main cycle of the International Money Market (a.k.a. IMM) months.">IMM</a> dates, settle on trade date +1 and upfront settle on trade date +3. </li>
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</dd></dl>
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<a class="anchor" id="a1ea01b653cd3880c3e5d8bc34af412d3"></a><!-- doxytag: member="QuantLib::CreditDefaultSwap::setupExpired" ref="a1ea01b653cd3880c3e5d8bc34af412d3" args="() const " -->
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<td class="memname">void <a class="el" href="class_quant_lib_1_1_credit_default_swap.html#a1ea01b653cd3880c3e5d8bc34af412d3">setupExpired</a> </td>
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<p>This method must leave the instrument in a consistent state when the expiration condition is met. </p>
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_instrument.html#a1ea01b653cd3880c3e5d8bc34af412d3">Instrument</a>.</p>
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